A general class of multifractional processes and stock price informativeness
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Publication:2313541
DOI10.1016/j.chaos.2018.08.004zbMath1416.62473arXiv1708.04217OpenAlexW2795686807MaRDI QIDQ2313541
Publication date: 19 July 2019
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1708.04217
pointwise Hölder exponentmultifractional processeslocalized generalized quadratic variation estimationstock price informativeness
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: estimation (62M09)
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