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