Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets

DOI10.1080/03610918.2013.849738zbMath1322.60041OpenAlexW2044215662MaRDI QIDQ5265826

Xi-Li Zhang, Wei-Guo Zhang, Wei-Lin Xiao

Publication date: 29 July 2015

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2013.849738

zbMATH Keywords

parameter identificationdiscrete-time observationsergodic theorystrong consistencyvariation methodChinese stock marketdrift fractional Brownian motion

Mathematics Subject Classification ID

Related Items (2)

Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

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