Estimating the \(p\)-variation index of a sample function: an application to financial data set

DOI10.1023/A:1015753313674zbMath1107.62113arXivmath/0012098OpenAlexW3171685517MaRDI QIDQ1610849

Donna Mary Salopek, Rimas Norvaiša

Publication date: 20 August 2002

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0012098

zbMATH Keywords

estimation\(p\)-variationsample functionsfinancial databox-counting index

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84)

Related Items (6)

Hausdorff-Besicovitch dimension of graphs and \(p\)-variation ⋮ On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ Random fractals determined by Lévy processes ⋮ Rough functions: \(p\)-variation, calculus, and index estimation ⋮ Computation of \(p\)-variation ⋮ Hausdorff dimension of the range and the graph of stable-like processes

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