Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
DOI10.1080/07474938.2020.1721832zbMath1490.62229arXiv1608.01895OpenAlexW3102401040MaRDI QIDQ5861006
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1608.01895
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Derivative securities (option pricing, hedging, etc.) (91G20)
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