Fast and unbiased estimator of the time-dependent Hurst exponent
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Publication:4565930
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Cites work
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Cited in
(17)- Hurst exponent estimation of self-affine time series using quantile graphs
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity
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- Comments on "PCA Based Hurst Exponent Estimator for fBm Signals Under Disturbances
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- Self-exciting multifractional processes
- Hurst exponents and delampertized fractional Brownian motions
- Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent
- Hurst analysis of dynamic networks
- Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
- A distribution-based method to gauge market liquidity through scale invariance between investment horizons
- Detecting subtle deviations in Brownian motion representations driven by a Schauder basis
- Fair volatility in the fractional stochastic regularity model
- Stochastic dominance in the outer distributions of the -efficiency domain
- When is volatility fair? Hölder regularity and financial risk
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