A comment on measuring the Hurst exponent of financial time series

By M. Couillard, M. Davison. 2005

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Rescaled Range Analysis and Detrended Fluctuation Analysis: Finite Sample Properties and Confidence Intervals (2010, background): “However, we have already shown that the overestimation is built in the procedure for finite samples (as was already shown in Weron 2002, Couillard and Davison 2005, Peters 1994).”
On Hurst exponent estimation under heavy-tailed distributions (2010, background): “R/S was shown to be biased for small υ (e.g. (Couillard and Davison, 2005)).”
Some comments on Hurst exponent and the long memory processes on capital markets (2008, unknown): “[7] to quote some of them.”