Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates

DOI10.1016/J.PHYSA.2017.04.122zbMATH Open1499.62118OpenAlexW2560568060MaRDI QIDQ2147882FDOQ2147882

Matthieu Garcin

Publication date: 20 June 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.04.122

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zbMATH Keywords

Hurst exponentEuler-Lagrange equationmultifractional Brownian motionforeign exchange forecastnon-parametric smoothing

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (21)

• Forecasting with fractional Brownian motion: a financial perspective
• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
• 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
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• Estimation of time-varying kernel densities and chronology of the impact of COVID-19 on financial markets
• Long versus short time scales: the rough dilemma and beyond
• Non-parametric news impact curve: a variational approach
• A statistical test of market efficiency based on information theory
• Forecast of random oscillation processes based on the method of exponential smoothing
• Exchange rate forecasting using ensemble modeling for better policy implications
• A NOVEL R/S FRACTAL ANALYSIS AND WAVELET ENTROPY CHARACTERIZATION APPROACH FOR ROBUST FORECASTING BASED ON SELF-SIMILAR TIME SERIES MODELING
• Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
• Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
• A generative model for fBm with deep ReLU neural networks
• Inhomogeneous scaling behaviors in Malaysian foreign currency exchange rates
• 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#
• HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS
• The local partial autocorrelation function and some applications
• Fast and unbiased estimator of the time-dependent Hurst exponent
• HURST EXPONENTS IN FUTURES EXCHANGE MARKETS

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