2]
0.0.1 #1
0.0.1 #1
ExploRing Persistence in Financial Time Series
1. Introduction
2. Hurst and Fractional Integration
2.1 Hurst (
Hurst, 1951
)
2.2 Fractional Integration
3. Tests for
against fractional alternatives
4. Semiparametric Estimation of Difference Parameter
5. ExploRing the Data
5.1 Typical Spectral Shape
5.2 Typical Distribution: Mean, Variance, Skewness and Kurtosis
6. The Data
7. The Quantlets
8. The Results
8.1 Equities
8.2 Exchange
9. Practical Considerations
9.1 Risk and Volatility
9.2 Estimating and Forecasting of Asset Prices
9.3 Portfolio Allocation Strategy
9.4 Diversification and Fractional Cointegration
9.5 MMAR and FIGARCH
10. Conclusion
Bibliography