Pages that link to "Item:Q1297904"
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The following pages link to Stock market prices and long-range dependence (Q1297904):
Displaying 37 items.
- Abductive learning of quantized stochastic processes with probabilistic finite automata (Q2955468) (← links)
- ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC (Q3023915) (← links)
- On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields (Q3085576) (← links)
- Asymptotic Properties of the<i>R</i>/<i>S</i>Statistics for Linear Processes (Q3100643) (← links)
- Inducing normality from non-Gaussian long memory time series and its application to stock return data (Q3103156) (← links)
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY (Q3168857) (← links)
- Long-range dependence of time series for MSFT data of the prices of shares and returns (Q3440812) (← links)
- Ruin probability at a given time for a model with liabilities of the fractional Brownian motion type: A partial differential equation approach (Q3440865) (← links)
- DETERMINING THE DURATION OF CYCLES IN THE MARKET OF SECOND-HAND TANKER SHIPS, 1976–2001: IS PREDICTION POSSIBLE? (Q3598863) (← links)
- SERIAL CORRELATION, PERIODICITY AND SCALING OF EIGENMODES IN AN EMERGING MARKET (Q3606402) (← links)
- OPTION PRICING WITH VG–LIKE MODELS (Q3621567) (← links)
- ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES (Q3632430) (← links)
- Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model (Q3633141) (← links)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise (Q4580032) (← links)
- FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET (Q4602497) (← links)
- Markov regime switching in mean and in fractional integration parameter (Q4607353) (← links)
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS (Q4653043) (← links)
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (Q4675938) (← links)
- Trading Fractional Brownian Motion (Q4971980) (← links)
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets (Q5030162) (← links)
- The Convergence of exponential Euler method for weighted fractional stochastic equations (Q5076668) (← links)
- On operator fractional Lévy motion: integral representations and time-reversibility (Q5084793) (← links)
- Stochastic Averaging Principle for Mixed Stochastic Differential Equations (Q5089517) (← links)
- Comparison of non-parametric and semi-parametric tests in detecting long memory (Q5123390) (← links)
- Two-sample <i>U</i>-statistic processes for long-range dependent data (Q5276171) (← links)
- NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (Q5455263) (← links)
- Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations (Q5467602) (← links)
- The use of Hurst and effective return in investing (Q5697331) (← links)
- Long-range memory test by the burst and inter-burst duration distribution (Q5856921) (← links)
- Short Communication: Exponential Utility Maximization in a Discrete Time Gaussian Framework (Q6048446) (← links)
- Fractional processes and their statistical inference: an overview (Q6149600) (← links)
- Pricing catastrophe equity put options in a mixed fractional Brownian motion environment (Q6534717) (← links)
- Parameter estimation of an agent-based stock price model (Q6570572) (← links)
- Variable annuities valuation under a mixed fractional Brownian motion environment with jumps considering mortality risk (Q6580760) (← links)
- Geometric Asian power option pricing with transaction cost under the geometric fractional Brownian motion with \(w\) sources of risk in fuzzy environment (Q6591548) (← links)
- On Estimation of Hurst Parameter Under Noisy Observations (Q6623197) (← links)
- A spectral approach using fractional Jaiswal functions to solve the mixed time-fractional Black-Scholes European option pricing model with error analysis (Q6660861) (← links)
