Pages that link to "Item:Q5397464"
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The following pages link to Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464):
Displaying 27 items.
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Mathematical model of stock prices via a fractional Brownian motion model with adaptive parameters (Q469958) (← links)
- Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index \(H\in(0,\frac{1}{2})\) (Q887245) (← links)
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets (Q1636954) (← links)
- Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Linear multifractional stable motion: fine path properties (Q2256075) (← links)
- Exploring the financial risk of a temperature index: a fractional integrated approach (Q2288969) (← links)
- A general class of multifractional processes and stock price informativeness (Q2313541) (← links)
- Moving average multifractional processes with random exponent: lower bounds for local oscillations (Q2668496) (← links)
- Fuzzy clustering of time series with time-varying memory (Q2677857) (← links)
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity (Q2698372) (← links)
- Stochastic Volatility and Multifractional Brownian Motion (Q2914791) (← links)
- Statistical tests of distributional scaling properties for financial return series (Q4554491) (← links)
- Fast and unbiased estimator of the time-dependent Hurst exponent (Q4565930) (← links)
- Behaviour of linear multifractional stable motion: membership of a critical Hölder space (Q4584666) (← links)
- Self-exciting multifractional processes (Q4964779) (← links)
- Explicit and combined estimators for parameters of stable distributions (Q5023858) (← links)
- Girsanov theorem for multifractional Brownian processes (Q5056592) (← links)
- Differential equations driven by variable order Hölder noise and the regularizing effect of delay (Q5086475) (← links)
- On the carrying dimension of occupation measures for self-affine random fields (Q5109855) (← links)
- Wavelet analysis of a multifractional process in an arbitrary Wiener chaos (Q5230206) (← links)
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion (Q5876563) (← links)
- Minimal model of diffusion with time changing Hurst exponent (Q6137656) (← links)
- Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning (Q6567626) (← links)
- A distribution-based method to gauge market liquidity through scale invariance between investment horizons (Q6578147) (← links)
