Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets

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

zbMATH Keywords

maximum likelihood estimationlong-range dependencemixed fractional Brownian motionNordic stock market indices

Mathematics Subject Classification ID

Statistics (62-XX)

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

• advanpix
• longmemo
• SimEstFBM

Cites Work

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• FRACTIONAL WHITE NOISE CALCULUS AND APPLICATIONS TO FINANCE
• Long‐Memory Time Series
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• Parameter identification for the discretely observed geometric fractional Brownian motion
• Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Fractional Brownian motion, random walks and binary market models
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