Hurst exponents and delampertized fractional Brownian motions
DOI10.1142/S0219024919500249zbMATH Open1488.60095OpenAlexW2913390158MaRDI QIDQ5234012FDOQ5234012
Authors: Matthieu Garcin 
Publication date: 9 September 2019
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500249
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Ornstein-Uhlenbeck processfractional Brownian motionHurst exponentstationary processLamperti transformforeign exchange rates
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)
Cites Work
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- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
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- Estimation of Hurst exponent revisited
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- Chaotic analysis of the foreign exchange rates
- Identification of the multiscale fractional Brownian motion with biomechanical applications
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- Estimation and pricing under long-memory stochastic volatility
- Fast and unbiased estimator of the time-dependent Hurst exponent
- Dynamical pricing of weather derivatives
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
- Wavelet shrinkage of a noisy dynamical system with non-linear noise impact
Cited In (9)
- 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
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Rough volatility via the Lamperti transform
- Long versus short time scales: the rough dilemma and beyond
- A statistical test of market efficiency based on information theory
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