Search results

  1. Y

    Variance ratio and Hurst exponent tests

    Hi, I have used the Chow Denning test and the Hurst exponent (Peng, Whittle and R/S methods) to examine if a particular time series follows a random walk. My results are conflicting between the 2 tests. From what I can fathom, the Hurst exponent does account for multiple variances (although I...