most citedHow are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

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q-fin.ST2012★ 40 cited

How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

Ladislav Kristoufek

In this paper, we present the results of Monte Carlo simulations for two popular techniques of long-range correlations detection - classical and modified rescaled range analyses. A…