Pages that link to "Item:Q5234012"
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The following pages link to HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (Q5234012):
Displaying 8 items.
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (Q2111626) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- Baxter estimates of the Hurst parameter of fractional Brownian motion (Q5135986) (← links)
- Rough volatility via the Lamperti transform (Q6059021) (← links)
- A statistical test of market efficiency based on information theory (Q6110870) (← links)