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~person:"Yu, Jun"
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Search: subject:"fractional Brownian motion"
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Yu, Jun
Garcin, Matthieu
Asai, Manabu
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
2
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
3
Asymptotic properties of the least squares estimator in local to unity processes with fractional Gaussian noise
Wang, Xiaohu
;
Xiao, Weilin
;
Yu, Jun
- In:
Essays in honor of Joon Y. Park : econometric theory
,
(pp. 73-95)
.
2023
Persistent link: https://www.econbiz.de/10014313249
Saved in:
4
Latent local-to-unity models
Wang, Xiaohu
;
Yu, Jun
- In:
Econometric reviews
42
(
2023
)
7
,
pp. 586-611
Persistent link: https://www.econbiz.de/10014321656
Saved in:
5
Forecasting with
fractional
Brownian
motion
: a financial perspective
Garcin, Matthieu
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1495-1512
Persistent link: https://www.econbiz.de/10013367924
Saved in:
6
Long versus short time scales : the rough dilemma and beyond
Garcin, Matthieu
;
Grasselli, Martino
- In:
Decisions in economics and finance : a journal of …
45
(
2022
)
1
,
pp. 257-278
Persistent link: https://www.econbiz.de/10013380566
Saved in:
7
Hurst exponents and delampertized fractional Brownian motions
Garcin, Matthieu
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-26
Persistent link: https://www.econbiz.de/10012153029
Saved in:
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