Modelling NASDAQ series by sparse multifractional Brownian motion

DOI10.1007/s11009-010-9188-5zbMath1241.62143MaRDI QIDQ430881

Samia Khadhraoui, Abdelkader Hamdouni, Pierre R. Bertrand

Publication date: 26 June 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9188-5

zbMATH Keywords

model selection; fractional Brownian motion; wavelet analysis; finance; generalized quadratic variation

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

62M05: Markov processes: estimation; hidden Markov models

91B84: Economic time series analysis

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