Fractional differencing in discrete time

DOI10.1080/14697688.2012.676207zbMath1280.91192OpenAlexW1982392061MaRDI QIDQ5746753

John Elder, Robert J. Elliott, Hong Miao

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/10217/206895

zbMATH Keywords

waveletscommodity pricestime series analysiscomputational financeempirical time series analysis

Mathematics Subject Classification ID

Related Items (4)

A filter for a state space model with fractional Gaussian noise ⋮ A filter for a hidden Markov chain observed in fractional Gaussian noise ⋮ Strategic asset allocation under a fractional hidden Markov model ⋮ Control of discrete-time HMM partially observed under fractional Gaussian noises

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