The local fractional bootstrap (Q4629286)

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scientific article; zbMATH DE number 7039914
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English
The local fractional bootstrap
scientific article; zbMATH DE number 7039914

    Statements

    title
    The local fractional bootstrap (English)
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    author
    Mikkel Bennedsen
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    Ulrich Hounyo
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    Asger Lunde
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    Mikko S. Pakkanen
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    publication date
    21 March 2019
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    zbMATH Keywords
    bootstrap
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    Brownian semistationary process
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    fractional Brownian motion
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    Hölder regularity
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    roughness
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    stochastic volatility
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    turbulence
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    time series
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    cites work
    Q5436594
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    Q3656682
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    Q4097679
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    Volatility is rough
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    Q4433608
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    Identifiers

    DOI
    10.1111/sjos.12355
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    Mathematics Subject Classification ID
    62M02
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    60G22
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    60G15
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    60F05
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    62G09
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    62M10
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    62P12
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    zbMATH DE Number
    7039914
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    OpenAlex ID
    W3123380076
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    arXiv ID
    1605.00868
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