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A novel method of detecting carbon asset price jump characteristics based on significant information shocks
Pan, Di; Zhang, Chen; Zhu, Dandan; Ji, Yuanpu; Cao, Wei - In: Finance research letters 47 (2022) 1, pp. 1-8
Persistent link: https://www.econbiz.de/10013459127
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Yu, Jun; Zhang, Chen - In: Quantitative finance 24 (2024) 2, pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
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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
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On the optimal forecast with the fractional Brownian motion
Wang, Xiaohu; Zhang, Chen; Yu, Jun - 2022
Persistent link: https://www.econbiz.de/10013542217
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Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping; Yu, Jun; Zhang, Chen - 2022
Persistent link: https://www.econbiz.de/10013542219