Hurst Exponent Estimation

Version 2.0.0.0 (137 KB) by Vilen Abramov
The code uses R/S analysis to derive Hurst exponent for VaR adjustments.
3.0
(2)
3K Downloads
Updated 2 Feb 2018

View License

The code uses R/S analysis to derive Hurst exponent for VaR adjustments.

Cite As

Vilen Abramov (2024). Hurst Exponent Estimation (https://www.mathworks.com/matlabcentral/fileexchange/39069-hurst-exponent-estimation), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Econometrics Toolbox in Help Center and MATLAB Answers

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!
Version Published Release Notes
2.0.0.0

Example added.
1.0.0.0