Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6260408
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity |
scientific article; zbMATH DE number 6260408 |
Statements
Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (English)
0 references
20 February 2014
0 references
multifractional Brownian motion
0 references
pointwise Hölder exponent
0 references
asset price dynamics
0 references
time-varying parameter
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8158772587776184
0 references
0.8081189393997192
0 references
0.79364413022995
0 references
0.7788554430007935
0 references
0.7731749415397644
0 references
