Analyzing the fine structure of continuous time stochastic processes (Q2904892)
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scientific article; zbMATH DE number 6071127
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| English | Analyzing the fine structure of continuous time stochastic processes |
scientific article; zbMATH DE number 6071127 |
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Analyzing the Fine Structure of Continuous Time Stochastic Processes (English)
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24 August 2012
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statistical inference
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Blumenthal-Getoor index
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Hurst exponent
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Lévy process
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fractional Brownian motion
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stochastic volatility model
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power variation
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high frequency data
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0.7899546027183533
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0.7763876914978027
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0.7551888227462769
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0.749849796295166
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0.7465994954109192
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