Is it Brownian or fractional Brownian motion?

DOI10.1016/J.ECONLET.2016.05.012zbMath1400.62327OpenAlexW2407121152MaRDI QIDQ1670157

Ramazan Gençay, Yi Xue, Meiyu Li

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.05.012

zbMATH Keywords

fractional Brownian motionbi-power variationpricing modelsfinite jumpsHurst index test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

Asset prices with investor protection and past information ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach

Cites Work

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• Ergodic properties of anomalous diffusion processes
• Bipower variation with jumps and correlated returns
• A Theory of the Term Structure of Interest Rates
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Long-Term Dependence and Least Squares Regression in Investment Analysis

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