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  ExploRing Persistence in Financial Time Series

1 Introduction

2 Hurst and Fractional Integration

3 Tests for I(0) against fractional alternatives

4 Semiparametric Estimation of Difference Parameter d

5 ExploRing the Data

6 The Data

7 The Quantlets

8 The Results

9 Practical Considerations
1 Risk and Volatility
2 Estimating and Forecasting of Asset Prices
3 Portfolio Allocation Strategy
4 Diversification and Fractional Cointegration
5 MMAR and FIGARCH

10 Conclusion

  Bibliography


folder TUTORIALS