Estimators of long range dependence : a survey of finite samples and robustness

2012

Masteroppgave i økonomi og administrasjon - Universitetet i Agder 2012 In traditional financial theory the returns of prices are assumed to be independent of each other, they are said to have short memory. However, it has been shown that returns in many cases are correlated and these instance are said to possess long memory or long range depen- dence. This phenomenon is also found in other research disciplines such as biology, economics, physics, linguistics and hydrology. Long memory can not be established on beforehand but has to be estimated. The goal of this thesis is to evaluate seven estimators of long range dependence by generating time series with varying known long memory parameter…