Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar. Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. In 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, CIFEr 2003, Hong Kong, March 20-23, 2003. pages 309-316, IEEE, 2003. [doi]
Abstract is missing.