[R] modified R/S

slim skandes slim_skander at yahoo.fr
Mon Jul 3 10:58:30 CEST 2000

I m a student in PARIS X university (France).I m
preparing a working paper dealing with the presence of
long memory in finantial markets.
I have programs computing the hurst exponent by the
rescaled range method and the GPH method (Geweke
Porter-Hudak). I want to apply the modified rescaled
range method proposed by A.Lo (1991).
AS i m beggining with RATS i couldn't do the progam .
can you send me the program (for RATS ) computing the
hurst exponent with the modified rescaled range method
or tell me where can i find them.
please help me i can't find it anywhere.

thank you

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