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 |
15.9 | Practical Considerations |
15.9.1 | Risk and Volatility |
15.9.2 | Estimating and Forecasting of Asset Prices |
15.9.3 | Portfolio Allocation Strategy |
15.9.4 | Diversification and Fractional Cointegration |
15.9.5 | MMAR and FIGARCH |
15.10 | Conclusion |
Bibliography |