Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (Q2147882)
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scientific article; zbMATH DE number 7545143
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| English | Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates |
scientific article; zbMATH DE number 7545143 |
Statements
Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (English)
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20 June 2022
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multifractional Brownian motion
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Hurst exponent
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Euler-Lagrange equation
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non-parametric smoothing
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foreign exchange forecast
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0.771325945854187
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0.7624467015266418
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0.7492249608039856
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0.7435067296028137
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0.7412884831428528
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