Serving the Quantitative Finance Community
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- alainruttiens
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HURST coefficient
the information given by HURST coefficient is presumably depending on its related confidence interval. I suppose such a confidence interval is mostly depending on the lenght of the time series data, like standard deviation (which is involved into the Hurst coeff calculation), not to mention possible restrictions on underlying proba distribution. I'm looking for info regarding how to compute such an Hurst coefficient confidence interval. Simple google research doesn't seem useful. Thanks for help.
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- msardelich
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HURST coefficient
try the heterocedastic robust Lo estimator (by andrew lo)