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 |