A new combined approach on Hurst exponent estimate and its applications in realized volatility

被引：12
|
作者：
Luo, Yi [1 ]
Huang, Yirong [2 ]
机构：
[1] Guangdong Polytech Normal Univ, Management Coll, Guangzhou 510665, Guangdong, Peoples R China
[2] Sun Yat Sen Univ, Business Sch, Guangzhou 510275, Guangdong, Peoples R China
来源：
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 492卷
关键词：
Hurst exponent; Rescaled range; Fractional Gaussian noise; Monte Carlo simulation; Volatility; TIME-SERIES; RESCALED VARIANCE; MONTE-CARLO; MEMORY; R/S; MODELS; TESTS;
D O I：
10.1016/j.physa.2017.11.063
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The purpose of this paper is to propose a new estimator of Hurst exponent based on the combined information of the conventional rescaled range methods. We demonstrate the superiority of the proposed estimator by Monte Carlo simulations, and the applications in estimating the Hurst exponent of daily volatility series in Chinese stock market. Moreover, we indicate the impact of the type of estimator and structural break on the estimating results of Hurst exponent. (C) 2017 Elsevier B.V. All rights reserved.
引用
收藏
页码：1364 / 1372
页数：9
相关论文
共 50 条
  • [31] Guanidinium bridged helical peptides: Development of a new stapling approach and its applications
    Pasco, Morgane
    Perdriau, Camille
    Neuville, Maxime
    Luton, Anais
    Zimmeter, Katharina
    Guichard, Gilles
    JOURNAL OF PEPTIDE SCIENCE, 2022, 28
  • [32] New fuzzy approach to estimating similarities of strata along piles and its applications
    Yang, Yu-Wen
    Sun, Guo-Qing
    Yantu Lixue/Rock and Soil Mechanics, 2007, 28 (08): : 1739 - 1743
  • [33] NEW APPROACH TO DETERMINATION OF PROTEIN-BOUND BILIRUBIN DISPLACEMENT AND ITS APPLICATIONS
    COUTINHO, CB
    LUCEK, RW
    CHERIPKO, JA
    KUNTZMAN, R
    ANNALS OF THE NEW YORK ACADEMY OF SCIENCES, 1973, 226 (NOV26) : 238 - 246
  • [34] The web computer and its operating system: A new approach for creating web applications
    Kozlovičs, Sergejs
    WEBIST 2019 - Proceedings of the 15th International Conference on Web Information Systems and Technologies, 2019, : 46 - 57
  • [35] The Web Computer and Its Operating System: A New Approach for Creating Web Applications
    Kozlovics, Sergejs
    WEBIST: PROCEEDINGS OF THE 15TH INTERNATIONAL CONFERENCE ON WEB INFORMATION SYSTEMS AND TECHNOLOGIES, 2019, : 46 - 57
  • [36] A new approach of time truncated chain sampling inspection plan and its applications
    Harsh Tripathi
    Mahendra Saha
    Sanku Dey
    International Journal of System Assurance Engineering and Management, 2022, 13 : 2307 - 2326
  • [37] A New Modified Reachability Tree Approach and Its Applications to Unbounded Petri Nets
    Wang, ShouGuang
    Zhou, MengChu
    Li, ZhiWu
    Wang, ChengYing
    IEEE TRANSACTIONS ON SYSTEMS MAN CYBERNETICS-SYSTEMS, 2013, 43 (04): : 932 - 940
  • [38] A New Approach of EV Modeling and its Control Applications to Reduce Energy Consumption
    Ristiana, Rina
    Rohman, Arief Syaichu
    Machbub, Carmadi
    Purwadi, Agus
    Rijanto, Estiko
    IEEE ACCESS, 2019, 7 : 141209 - 141225
  • [39] A new approach of time truncated chain sampling inspection plan and its applications
    Tripathi, Harsh
    Saha, Mahendra
    Dey, Sanku
    INTERNATIONAL JOURNAL OF SYSTEM ASSURANCE ENGINEERING AND MANAGEMENT, 2022, 13 (05) : 2307 - 2326
  • [40] A new fuzzy approach to estimating similarities of strata along piles and its applications
    Yang Yu-wen
    Sun Guo-qin
    ROCK AND SOIL MECHANICS, 2007, 28 (08) : 1739 - 1743
12345