PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (Q4675938)
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scientific article; zbMATH DE number 2166061
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| default for all languages | No label defined |
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| English | PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE |
scientific article; zbMATH DE number 2166061 |
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PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE (English)
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6 May 2005
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(multi)fractional Brownian motion
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LRD estimators
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financial markets
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0.8407930135726929
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0.8022177219390869
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0.7942928075790405
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0.794211745262146
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0.7937734127044678
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