Fast and unbiased estimator of the time-dependent Hurst exponent
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Publication:4565930
DOI10.1063/1.5025318zbMath1452.62111OpenAlexW2790247905WikidataQ88234268 ScholiaQ88234268MaRDI QIDQ4565930
A. Palazzo, Augusto Pianese, Sergio Bianchi
Publication date: 13 June 2018
Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1063/1.5025318
Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)
Related Items (4)
Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity ⋮ Self-exciting multifractional processes ⋮ HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
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