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Hurst Exponent Calculation
I am trying to calculate the Hurst Exponent using Excel. I am facing a problem where the exponent value sometime goes beyond 1. Can someone share a link / material so that it will help me to calculate ...
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Can the Hurst exponent be greater than one?
Can the Hurst exponent be greater than one? Does it mean that the time series follows a random walk or that it's not stationary?
