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

@inproceedings{Serinaldi2010UseAM,
  title={Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series},
  author={Francesco Serinaldi},
  year={2010}
}
The detection of long range dependence (LRD) is an important task in time series analysis. LRD is often summarized by the well-known Hurst parameter (or exponent) H ∈ [0, 1], which can be estimated by a number of methods. Some of these techniques are designed to be applied to signals behaving as a stationary fractional Gaussian noise (fGn), whereas others imply that the analyzed time series behave as a non-stationary fractional Brownian motion (fBm). Moreover, some estimators do not yield the… CONTINUE READING
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