Pages that link to "Item:Q1297904"
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The following pages link to Stock market prices and long-range dependence (Q1297904):
Displaying 50 items.
- Gaussian-type lower bounds for the density of solutions of SDEs driven by fractional Brownian motions (Q272962) (← links)
- Smooth density for some nilpotent rough differential equations (Q376255) (← links)
- A Milstein-type scheme without Lévy area terms for SDEs driven by fractional Brownian motion (Q424708) (← links)
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Absence of arbitrage in a general framework (Q470679) (← links)
- An accurate algorithm to calculate the Hurst exponent of self-similar processes (Q489372) (← links)
- Transition density estimates for jump Lévy processes (Q544517) (← links)
- Testing for long-range dependence in the Brazilian term structure of interest rates (Q601336) (← links)
- Precise rates in the law of the iterated logarithm for \(R/S\) statistics (Q621879) (← links)
- Long-term and short-term price memory in the stock market (Q672632) (← links)
- Asymptotic proportion of arbitrage points in fractional binary markets (Q901293) (← links)
- Variations and estimators for self-similarity parameters via Malliavin calculus (Q971934) (← links)
- A critical look at Lo's modified \(R/S\) statistic. (Q1304363) (← links)
- A fractional version of the Merton model. (Q1419131) (← links)
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence (Q1600522) (← links)
- Estimating long-range dependence: Finite sample properties and confidence intervals (Q1611161) (← links)
- Martingale transforms and Girsanov theorem for long-memory Gaussian processes (Q1612950) (← links)
- Numerically pricing American options under the generalized mixed fractional Brownian motion model (Q1619383) (← links)
- Arbitrage with fractional Gaussian processes (Q1620481) (← links)
- Mixed fractional Heston model and the pricing of American options (Q1675943) (← links)
- Maximum likelihood estimators of a long-memory process from discrete observations (Q1712209) (← links)
- Pricing of equity indexed annuity under fractional Brownian motion model (Q1723974) (← links)
- On optimal investment with processes of long or negative memory (Q1743336) (← links)
- The law of the iterated logarithm for the rescaled R/S statistics without the second moment (Q1767858) (← links)
- The pricing of credit default swaps under a generalized mixed fractional Brownian motion (Q1782751) (← links)
- Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
- On inference for fractional differential equations (Q1943988) (← links)
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications (Q1999688) (← links)
- The local time of the fractional Ornstein-Uhlenbeck process (Q2015425) (← links)
- High-frequency trading with fractional Brownian motion (Q2022763) (← links)
- Stochastic resonance in coupled star-networks with power-law heterogeneity (Q2070521) (← links)
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models (Q2137510) (← links)
- Analytical pricing of geometric Asian power options on an underlying driven by a mixed fractional Brownian motion (Q2150007) (← links)
- Euler scheme for fractional delay stochastic differential equations by rough paths techniques (Q2153083) (← links)
- Pricing European double barrier option with moving barriers under a fractional Black-Scholes model (Q2167823) (← links)
- A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes (Q2254745) (← links)
- The fractional and mixed-fractional CEV model (Q2315921) (← links)
- Stochastic viability and comparison theorems for mixed stochastic differential equations (Q2340306) (← links)
- Bipower variation with jumps and correlated returns (Q2345250) (← links)
- Testing long memory based on a discretely observed process (Q2362937) (← links)
- Testing for long-range dependence in world stock markets (Q2425502) (← links)
- Consistent price systems and face-lifting pricing under transaction costs (Q2426603) (← links)
- Time-varying long-range dependence in US interest rates (Q2468080) (← links)
- Testing for long range dependence in banking equity indices (Q2484774) (← links)
- On fractional tempered stable motion (Q2507646) (← links)
- The law of iterated logarithm of rescaled range statistics for AR(1) model (Q2508568) (← links)
- Gaussian moving averages, semimartingales and option pricing. (Q2574617) (← links)
- Estimation methods for the LRD parameter under a change in the mean (Q2633430) (← links)
- LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance (Q2931564) (← links)
- CRITICAL TRANSACTION COSTS AND 1-STEP ASYMPTOTIC ARBITRAGE IN FRACTIONAL BINARY MARKETS (Q2947342) (← links)
