Is it Brownian or fractional Brownian motion?
type: Item
instance of: scholarly article
title: Is it Brownian or fractional Brownian motion?
zbMATH Open document ID: 1400.62327
author: Meiyu Li
author: Ramazan Gençay
author: Yi Xue
published in: Economics Letters
publication date: 2018-09-05T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M07
Mathematics Subject Classification ID: 60G22
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 6932001
zbMATH Keywords: fractional Brownian motion
zbMATH Keywords: Hurst index test
zbMATH Keywords: bi-power variation
zbMATH Keywords: finite jumps
zbMATH Keywords: pricing models
MaRDI profile type: Publication
full work available at URL: j.econlet.2016.05.012
OpenAlex ID: W2407121152
cites work: LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
cites work: A theory of the term structure of interest rates
cites work: Bipower variation with jumps and correlated returns
cites work: Long-Term Dependence and Least Squares Regression in Investment Analysis
cites work: Q4840212
cites work: Ergodic properties of anomalous diffusion processes
DOI: 10.1016/J.ECONLET.2016.05.012
description: scientific article; zbMATH DE number 6932001