Goodness of fit assessment for a fractal model of stock markets
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Publication:340460
DOI10.1016/j.chaos.2014.05.005zbMath1349.62578OpenAlexW2007026123MaRDI QIDQ340460
Publication date: 14 November 2016
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2014.05.005
Applications of statistics to economics (62P20) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84)
Related Items (3)
Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets ⋮ Fast and unbiased estimator of the time-dependent Hurst exponent ⋮ Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
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