Results 221 to 230 of about 5,580 (241)

Chapter 42 - The Hurst Exponent

2023
Christian Hafner, Wolfgang Karl Härdle
openaire   +1 more source

An early-warning method for rock failure based on Hurst exponent in acoustic emission/microseismic activity monitoring

Bulletin of Engineering Geology and the Environment, 2021
Rongchao Xu
exaly  

Hurst Exponent as Implied by Option Prices

Studies in Nonlinear Dynamics & Econometrics
Abstract This paper develops a framework to estimate the ex-ante Hurst exponent for financial returns. It builds on the statistical concept of variance scaling and uses the implied variance term-structure as its sole input. Hence, return persistence is quantified in a forward-looking manner.
openaire   +1 more source

Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

Physica A: Statistical Mechanics and Its Applications, 2021
Liang Ding, Yirong Huang
exaly  

On Hurst exponent estimation under heavy-tailed distributions

Physica A: Statistical Mechanics and Its Applications, 2010
Józef Barunik, Ladislav Kristoufek
exaly  

Hurst exponent for weak self-similar processes

Communications in Nonlinear Science and Numerical Simulation
M. Fernández-Martínez, M.A. Sánchez-Granero   +1 more
openaire   +1 more source

TTA, a new approach to estimate Hurst exponent with less estimation error and computational time

Physica A: Statistical Mechanics and Its Applications, 2020
Ali Maleki
exaly  

Floating small target detection in sea clutter via normalised Hurst exponent

Electronics Letters, 2014
Peng-Lang Shui
exaly  

An investigation on the relationship between the Hurst exponent and the predictability of a rainfall time series

Meteorological Applications, 2019
Sivapragasam Chandrasekaran, Saravanan Poomalai   +1 more
exaly  

A new combined approach on Hurst exponent estimate and its applications in realized volatility

Physica A: Statistical Mechanics and Its Applications, 2018
Yirong Huang
exaly