Is it Brownian or fractional Brownian motion?

DOI10.1016/J.ECONLET.2016.05.012MaRDI QIDQ1670157zbMATH OpenOpenAlexFDO

Authors Meiyu Li, Ramazan Gençay, Yi Xue

Publication date 5 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.05.012

zbMATH Keywords

bi-power variationfinite jumpsfractional Brownian motionHurst index testpricing models

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Non-Markovian processes: hypothesis testing (62M07) Applications of statistics to economics (62P20)

Recommendations

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• scientific article; zbMATH DE number 1642340
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Cites work

• A theory of the term structure of interest rates
• Bipower variation with jumps and correlated returns
• Ergodic properties of anomalous diffusion processes
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Long-Term Dependence and Least Squares Regression in Investment Analysis

Cited in

(9)

• How long does it take to see a flat Brownian path on the average?
• Statistical inference with fractional Brownian motion
• Testing of fractional Brownian motion in a noisy environment
• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• A Hausman test for Brownian motion
• Asset prices with investor protection and past information
• Time-varying persistence of inflation: evidence from a wavelet-based approach
• Fractional Poisson field and fractional Brownian field: why are they resembling but different?
• When does fractional Brownian motion not behave as a continuous function with bounded variation?

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