Overfitting of Hurst estimators for multifractional Brownian motion : a fitting test advocating simple models
Pierre Raphaël Bertrand, Jean-Louis Combes, Marie-Eliette Dury and Doha Hadouni
| Year of publication: |
2018
|
|---|---|
| Authors: | Bertrand, Pierre Raphaël ; Combes, Jean-Louis ; Dury, Marie-Eliette ; Hadouni, Doha |
| Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 31-49
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| Subject: | Fractional Brownian motion (fBm) | multifractional Brownian motion (mBm) | time-varying Hurst index | wavelet series expansion | finance time series | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3233/RDA-180136 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945637