I have been doing some work on the R/S statistic. Can anyone tell me if
they are aware of any work being done on Hurst or R/S analysis in recent
years. I am aware of a paper by Lo in Econometrica 1988 and a working paper
by Moody and Wu a little later on but I haven't found anything after that.
Does anyone with links to the finance community know how R/S analysis is
viewed as an analytic technique.
Thanks
Glenn Treacy
%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%
|