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  • Search: subject:"fractal index"
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Subject
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Aktienindex 1 Estimation 1 Estimation theory 1 Fixed-domain asymptotics 1 Fractal dimension 1 Fractal index 1 Gaussian random fields 1 Induktive Statistik 1 Infill asymptotics 1 Microergodic parameter 1 Nichtparametrisches Verfahren 1 Nonparametric statistics 1 Schätztheorie 1 Schätzung 1 Statistical inference 1 Stochastic process 1 Stochastischer Prozess 1 Stock index 1 Time series analysis 1 Volatility 1 Volatilität 1 Whittle likelihood 1 Zeitreihenanalyse 1 fractal index 1 fractional Brownian motion 1 inference 1 roughness 1 stochastic volatility 1
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Undetermined 2
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Article 2
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 1 Undetermined 1
Author
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Bennedsen, Mikkel 1 Lim, Chae Young 1 Wu, Wei-Ying 1 Xiao, Yimin 1
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Econometric reviews 1 Journal of Multivariate Analysis 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
Bennedsen, Mikkel - In: Econometric reviews 39 (2020) 9, pp. 875-903
Persistent link: https://www.econbiz.de/10012295586
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Tail estimation of the spectral density for a stationary Gaussian random field
Wu, Wei-Ying; Lim, Chae Young; Xiao, Yimin - In: Journal of Multivariate Analysis 116 (2013) C, pp. 74-91
to a fractal index. For data observed on a grid, we propose estimators of c and θ by minimizing an objective function …
Persistent link: https://www.econbiz.de/10011041974
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