Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
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Publication:5265826
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Cited in
(4)- Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Parameter identification for the discretely observed geometric fractional Brownian motion
- Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
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