Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464)
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scientific article; zbMATH DE number 6260408
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity |
scientific article; zbMATH DE number 6260408 |
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Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (English)
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20 February 2014
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multifractional Brownian motion
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pointwise Hölder exponent
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asset price dynamics
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time-varying parameter
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