Estimating the p-Variation Index of a Sample Function: An Application to Financial Data Set
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DOI: 10.1023/A:1015753313674
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References listed on IDEAS
- Bick, Avi & Willinger, Walter, 1994. "Dynamic spanning without probabilities," Stochastic Processes and their Applications, Elsevier, vol. 50(2), pages 349-374, April.
- Mark E. Crovella & Murad S. Taqqu, 1999. "Estimating the Heavy Tail Index from Scaling Properties," Methodology and Computing in Applied Probability, Springer, vol. 1(1), pages 55-79, July.
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Cited by:
- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
- Jamison Wolf, 2010. "Random Fractals Determined by Lévy Processes," Journal of Theoretical Probability, Springer, vol. 23(4), pages 1182-1203, December.
- Xiaochuan Yang, 2018. "Hausdorff Dimension of the Range and the Graph of Stable-Like Processes," Journal of Theoretical Probability, Springer, vol. 31(4), pages 2412-2431, December.
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Keywords
estimation; p-variation index; box-counting index; financial data analysis;All these keywords.
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