Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
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Cited in
(23)- HURST EXPONENTS IN FUTURES EXCHANGE MARKETS
- Forecasting with fractional Brownian motion: a financial perspective
- Exchange rate forecasting using ensemble modeling for better policy implications
- Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
- Forecasting of time data with using fractional Brownian motion
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
- Forecast of random oscillation processes based on the method of exponential smoothing
- Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- The local partial autocorrelation function and some applications
- Fast and unbiased estimator of the time-dependent Hurst exponent
- A statistical test of market efficiency based on information theory
- A novel \(R/S\) fractal analysis and wavelet entropy characterization approach for robust forecasting based on self-similar time series modeling
- Long memory in high frequency foreign exchange rates: Hurst exponents dependence on data aggregation
- A generative model for fBm with deep ReLU neural networks
- 缺失数据环境下汇率序列的潜变量Metropolis-Hastings算法及触发式理财产品定价#br#
- Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
- Long versus short time scales: the rough dilemma and beyond
- Hurst exponents and delampertized fractional Brownian motions
- Non-parametric news impact curve: a variational approach
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