HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS

DOI10.1142/S0219024919500249zbMath1488.60095OpenAlexW2913390158MaRDI QIDQ5234012

Matthieu Garcin

Publication date: 9 September 2019

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024919500249

zbMATH Keywords

fractional Brownian motionOrnstein-Uhlenbeck processforeign exchange ratesstationary processHurst exponentLamperti transform

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (7)

Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process ⋮ Long versus short time scales: the rough dilemma and beyond ⋮ A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Forecasting with fractional Brownian motion: a financial perspective ⋮ Rough volatility via the Lamperti transform ⋮ A statistical test of market efficiency based on information theory ⋮ Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics

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