Keyword

R/S analysis

Description: A statistical method based on rescaled range analysis, used to assess long-range dependence or scaling behavior in time series.

Primary topic: Complex Systems and Time Series Analysis (38%)

OpenAlex ID: keywords/r-s-analysis

Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence

1969 · Benoit B. Mandelbrot, James R. Wallis · Water Resources Research · 1,063

Fractal Market Analysis: Applying Chaos Theory to Investment and Economics

1994 · Edgar E. Peters · 983

Long-term dependence in common stock returns

1977 · Myron T. Greene, Bruce D. Fielitz · Journal of Financial Economics · 478

Chaos and order in the capital markets: a new view of cycles, prices, and market volatility

1992 · Choice Reviews Online · 423

Estimating long range dependence: finite sample properties and confidence intervals

2001 · Weron, Rafal · arXiv (Cornell University) · 409

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Trend analysis of vegetation dynamics in Qinghai–Tibet Plateau using Hurst Exponent

2011 · Jian Peng, Zhenhuan Liu, et al. · Ecological Indicators · 379

Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

1972 · B. B. Mandelbrot · RePEc: Research Papers in Economics · 344

Persistence in the cryptocurrency market

2018 · Guglielmo Maria Caporale, Luis Gil-Alana, et al. · Research in International Business and Finance · 301

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Some comments on Hurst exponent and the long memory processes on capital markets

2008 · M.A. Sánchez Granero, J.E. Trinidad Segovia, et al. · Physica A Statistical Mechanics and its Applications · 276

R/S analysis of foreign exchange rates under two international monetary regimes

1982 · G.Geoffrey Booth, Fred R. Kaen, et al. · Journal of Monetary Economics · 146

Limit Theorem on the Self-Normalized Range for Weakly and Strongly Dependent Process

1975 · Benoit B. Mandelbrot · Probability Theory and Related Fields · 133

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Empirical evidence of long-range correlations in stock returns

2000 · Pilar Grau-Carles · Physica A Statistical Mechanics and its Applications · 114

Hurst analysis of electricity price dynamics

2000 · Rafal Weron, Beata Przybyłowicz · Physica A Statistical Mechanics and its Applications · 114

Order From Chaos

1999 · William Seffens · Science · 93

Measuring anti-correlations in the nordic electricity spot market by wavelets

2003 · Ingve Simonsen · Physica A Statistical Mechanics and its Applications · 90

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Some international evidence regarding the stochastic memory of stock returns

1994 · Nuno Crato · Applied Financial Economics · 88

Performance of a high-dimensional method for Hurst exponent estimation

2008 · Jose Alvarez-Ramirez, Juan C. Echeverria, et al. · Physica A Statistical Mechanics and its Applications · 87

Prediction of gas and coal spontaneous combustion coexisting disaster through the chaotic characteristic analysis of gas indexes in goaf gas extraction

2019 · Yawei Song, Shengqiang Yang, et al. · Process Safety and Environmental Protection · 82

Initial evidence for self-organized criticality in electric power system blackouts

2005 · B.A. Carreras, D.E. Newman, et al. · Proceedings of the ... Annual Hawaii International Conference on System Sciences/Proceedings of the Annual Hawaii International Conference on System Sciences · 81

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A scale-invariant approach to flood-frequency analysis

1993 · D. L. Turcotte, L. Greene · Stochastic Environmental Research and Risk Assessment · 81

Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates

2001 · S.V. Muniandy, S.C. Lim, et al. · Physica A Statistical Mechanics and its Applications · 76

Big Players and Herding in Asset Markets: The Case of the Russian Ruble

1996 · Roger Koppl, Leland B. Yeager · Explorations in Economic History · 76

Testing for long-range dependence in world stock markets

2006 · Daniel O. Cajueiro, Benjamin M. Tabak · Chaos Solitons & Fractals · 72

Unfolding the procedure of characterizing recorded ultra low frequency, kHZ and MHz electromagetic anomalies prior to the L'Aquila earthquake as pre-seismic ones – Part 1

2009 · K. Eftaxias, L. Athanasopoulou, et al. · Natural hazards and earth system sciences · 69

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Stylised facts for high frequency cryptocurrency data

2018 · Yuanyuan Zhang, Stephen Chan, et al. · Physica A Statistical Mechanics and its Applications · 64

Works count: 1,036

Citation count: 9,292