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  ExploRing Persistence in Financial Time Series

1 Introduction

2 Hurst and Fractional Integration
1 Hurst cite hurst:51
2 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

10 Conclusion

  Bibliography


folder TUTORIALS