A new combined approach on Hurst exponent estimate and its applications in realized volatility

The purpose of this paper is to propose a new estimator of Hurst exponent based on the combined information of the conventional rescaled range methods. We demonstrate the superiority of the proposed estimator by Monte Carlo simulations, and the applications in estimating the Hurst exponent of daily volatility series in Chinese stock market. Moreover, we indicate the impact of the type of estimator and structural break on the estimating results of Hurst exponent.