Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach
DOI10.1007/s10479-019-03305-zzbMath1477.62287OpenAlexW2963492901MaRDI QIDQ2241128
Gurjeet Dhesi, Bilal Shakeel, Marcel Ausloos
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03305-z
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Probabilistic models, generic numerical methods in probability and statistics (65C20)
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