Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series

Published 2010 View Full Article

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Title
Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
Authors
Keywords
-
Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 389, Issue 14, Pages 2770-2781
Publisher
Elsevier BV
Online
2010-02-27
DOI
10.1016/j.physa.2010.02.044

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