Search Results - subject:"Hurst parameter"

Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes

Jiang, Hui; Pan, Yajuan; Liao, Weilin; Yang, Qingshan; … - 2023

Persistent link: https://www.econbiz.de/10014320455

Implied roughness in the term structure of oil market volatility

Alfeus, Mesias; Nikitopoulos, Christina Sklibosios; … - In: Quantitative finance 24 (2024) 3/4, pp. 347-363

Persistent link: https://www.econbiz.de/10014552013

Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process

Wang, Xiaohu; Xiao, Weilin; Yu, Jun - In: Journal of econometrics 232 (2023) 2, pp. 389-415

Persistent link: https://www.econbiz.de/10014339985

A new multifractional process with random exponent

Ayache, Antoine; Esser, Céline; Hamonier, Julien - In: Risk and decision analysis 7 (2018) 1/2, pp. 5-29

Persistent link: https://www.econbiz.de/10011945625

Not all estimators are born equal: The empirical properties of some estimators of long memory

Rea, William; Oxley, Les; Reale, Marco; Brown, Jennifer - In: Mathematics and Computers in Simulation (MATCOM) 93 (2013) C, pp. 29-42

We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H …

Persistent link: https://www.econbiz.de/10010751805

The rate of convergence of Hurst index estimate for the stochastic differential equation

Kubilius, K.; Mishura, Y. - In: Stochastic Processes and their Applications 122 (2012) 11, pp. 3718-3739

. The estimates for the Hurst parameter are constructed according to first- and second-order quadratic variations of …

Persistent link: https://www.econbiz.de/10010580876

Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

Breton, Jean-Christophe; Coeurjolly, Jean-François - In: Statistical Inference for Stochastic Processes 15 (2012) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010539198

Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series

Serinaldi, Francesco - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 14, pp. 2770-2781

the well-known Hurst parameter (or exponent) H∈[0,1], which can be estimated by a number of methods. Some of these … yield the Hurst parameter but indexes related to H and ranging outside the unit interval. Therefore, the fGn or fBm nature …

Persistent link: https://www.econbiz.de/10011064518

Estimating the Hurst parameter in financial time series via heuristic approaches

Cheong, Chin Wen - In: Journal of Applied Statistics 37 (2010) 2, pp. 201-214

memory process is quantified in terms of Hurst parameter (H). Five Malaysian equity market indices are selected in the …

Persistent link: https://www.econbiz.de/10008582910

Modeling network traffic using generalized Cauchy process

Li, Ming; Lim, S.C. - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 11, pp. 2584-2594

ranging from hydrology to network traffic. Two key properties of such processes are LRD that is characterized by the Hurst … parameter H and self-similarity (SS) that is measured by the fractal dimension D. However, in the popular traffic model using …

Persistent link: https://www.econbiz.de/10010590734