Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility

DOI10.1016/j.physa.2020.125647OpenAlexW3114237637MaRDI QIDQ2066041

Mike G. Tsionas

Publication date: 13 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2020.125647

zbMATH Keywords

Bayesian analysistime seriesstochastic volatilityHurst exponentmulti-fractional Brownian motion

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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