Pages that link to "Item:Q4675938"
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The following pages link to PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (Q4675938):
Displayed 20 items.
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets (Q1636954) (← links)
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (Q2111626) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (Q2147882) (← links)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
- Linear multifractional stable motion: fine path properties (Q2256075) (← links)
- Fuzzy clustering of time series with time-varying memory (Q2677857) (← links)
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity (Q2698372) (← links)
- Stochastic Volatility and Multifractional Brownian Motion (Q2914791) (← links)
- MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÖLDER REGULARITY (Q3168857) (← links)
- Fast and unbiased estimator of the time-dependent Hurst exponent (Q4565930) (← links)
- Behaviour of linear multifractional stable motion: membership of a critical Hölder space (Q4584666) (← links)
- (Q4999837) (← links)
- ON MULTIFRACTIONALITY OF SPHERICAL RANDOM FIELDS WITH COSMOLOGICAL APPLICATIONS (Q5038205) (← links)
- Wavelet analysis of a multifractional process in an arbitrary Wiener chaos (Q5230206) (← links)
- HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (Q5234012) (← links)
- Modelling stock price movements: multifractality or multifractionality? (Q5309005) (← links)
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464) (← links)
- MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (Q5416706) (← links)
- An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion (Q5876563) (← links)