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Willinger, Taqqu, Teverovsky(1999)
Posted: Wed Mar 12, 2014 8:25 am
by TomDoan
This is a replication file for Willinger, Taqqu and Teverovsky(1999), "Stock Market Prices and Long-Range Dependence",
Finance and Stochastics, vol 3, pp 1-13. This includes use of the
@RSStatistic and
@Hurst procedures and estimation of an ARFIMA model.
- ew.rpf
- Program file
- (2.71 KiB) Downloaded 862 times
- d-vwew.dat
- Data file
- (366.6 KiB) Downloaded 862 times
Re: Willinger, Taqqu, Teverovsky(1999)
Posted: Thu Mar 13, 2014 2:01 pm
by prashantj
Dear Tom,
I have run the code. but the values of H and graphs turn out to be very different. Even graphs do not look like the paper. I attach the output and one sample graph generated by the new code for your reference. Only Fig 1(a)- Trace of EW and Fig 2(b)-equally weighed index log-log plot match with the paper. Previous codes seem to be given better values of H. Value of MA coefficients turn out to be positive 0.40 which was negative -0.40 in the paper.
Looking forward for your reply,
With regards,
Prashant
Re: Willinger, Taqqu, Teverovsky(1999)
Posted: Thu Mar 13, 2014 2:20 pm
by TomDoan
The signs of MA coefficients depend upon the parameterization. RATS uses (1+thetaL)u_t while some software uses (1-thetaL)u_t which will give exactly the same magnitude but opposite signs.
Re: Willinger, Taqqu, Teverovsky(1999)
Posted: Thu Mar 13, 2014 8:40 pm
by TomDoan
prashantj wrote:Dear Tom,
I have run the code. but the values of H and graphs turn out to be very different. Even graphs do not look like the paper. I attach the output and one sample graph generated by the new code for your reference. Only Fig 1(a)- Trace of EW and Fig 2(b)-equally weighed index log-log plot match with the paper. Previous codes seem to be given better values of H. Value of MA coefficients turn out to be positive 0.40 which was negative -0.40 in the paper.
Looking forward for your reply,
With regards,
Prashant
I fixed an error with that revised @HURST. Download the newest one.