Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
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Publication:5042125
DOI10.1080/03610918.2020.1764581OpenAlexW3031991267MaRDI QIDQ5042125
Seppo Pynnönen, Tommi Sottinen, Josephine Dufitinema
Publication date: 18 October 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2020.1764581
maximum likelihood estimationlong-range dependencemixed fractional Brownian motionNordic stock market indices
Related Items (2)
Parameter estimation for \(n\)th-order mixed fractional Brownian motion with polynomial drift ⋮ Parameter estimation in mixed fractional stochastic heat equation
Uses Software
Cites Work
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