Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion (Q2810020)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion |
scientific article; zbMATH DE number 6587711
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion |
scientific article; zbMATH DE number 6587711 |
Statements
30 May 2016
0 references
fractional geometric Brownian motion
0 references
Hurst index
0 references
estimation
0 references
increment ratio statistic
0 references
fractional Black-Scholes model
0 references
Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion (English)
0 references
0.8026044964790344
0 references
0.7717000246047974
0 references
0.7620884776115417
0 references
0.7609241008758545
0 references
