Estimating the Hurst parameter in financial time series via heuristic approaches
Author:
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/10256018808623883
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1. Tests for Parameter Instability and Structural Change With Unknown Change Point
2. Estimating and Testing Linear Models with Multiple Structural Changes
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4. Random walk versus breaking trend in stock prices: Evidence from emerging markets
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