0349301 20240103194105.220101116235959.9 15 s. cav_un_epca*00824311802-4696Acta Universitatis Carolinae - OECONOMICA3 (2010)236-250 rescaled range analysis detrended fluctuation analysis Hurst exponent long-range dependence cav_un_auth*0256902 Krištoufek Ladislav Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2010/E/kristoufek-rescaled range analysis and detrended fluctuation analysis finite sample properties and confidence intervals.pdf 118310 GA UK CZ cav_un_auth*0274537 GD402/09/H045 GA ČR cav_un_auth*0253998 GA402/09/0965 GA ČR cav_un_auth*0253176 CEZ:AV0Z10750506 We focus on finite sample properties of two mostly used methods of Hurst exponent H estimation—rescaled range analysis (R/S) and detrended fluctuation analysis (DFA). Even though both methods have been widely applied on different types of financial assets, only seve- ral papers have dealt with the finite sample properties which are crucial as the properties differ significantly from the asymptotic ones. Recently, R/S analysis has been shown to overestimate H when compared to DFA. However, we show that even though the estimates of R/S are truly significantly higher than an asymptotic limit of 0.5, for random time series with lengths from 29 to 217, they remain very close to the estimates proposed by Anis & Lloyd and the estimated standard deviations are lower than the ones of DFA. On the other hand, DFA estimates are very close to 0.5. The results propose that R/S still remains useful and robust method even when compared to newer method of DFA which is usually preferred in recent literature. 2011 AH 1 http://hdl.handle.net/11104/0189575 2010 cav_un_epca*0082431 AUCO Czech Economic Review Acta Universitatis Carolinae - OECONOMICA 1802-4696 4/2010 č. 3 2010 236 250