15 ExploRing Persistence in Financial Time Series
15.1 Introduction
15.2 Hurst and Fractional Integration
15.3 Tests for I(0) against fractional alternatives
15.4 Semiparametric estimation of difference parameter d
15.5 ExploRing the Data
15.6 The Data
15.7 The Quantlets
15.8 The Results
15.8.1 Equities
15.8.2 Exchange
15.9 Practical Considerations
15.10 Conclusion
Bibliography