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- Title
Long-range dependence of time series for MSFT data of the prices of shares and returns.
- Authors
Moklyachuk, Mikhail P.; Zrazhevsky, Aleksey G.
- Abstract
The problem of estimation of the Hurst parameter for self-similar time series is discussed in the paper. Five methods of estimation of the Hurst parameter for prices of MSFT ticker, for returns of MSFT ticker and for simulated FARIMA time series with H = 0.766 are presented. Methods that are inefficient for estimation the Hurst parameter in limit cases (H close to 0.5 and H close to 1) are detected based on the presented methods. The long-range dependence of the mentioned three time series are statistically proved.
- Subjects
TIME series analysis; PARAMETER estimation; STOCK prices; BUSINESS mathematics; MATHEMATICAL statistics; MICROSOFT Corp.
- Publication
Random Operators & Stochastic Equations, 2006, Vol 14, Issue 4, p393
- ISSN
0926-6364
- Publication type
Article
- DOI
10.1515/156939706779801714