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Identification of the Hurst Index of a Step Fractional Brownian Motion

Author

Listed:
  • Albert Benassi
  • Pierre Bertrand
  • Serge Cohen
  • Jacques Istas

Abstract

No abstract is available for this item.

Suggested Citation

  • Albert Benassi & Pierre Bertrand & Serge Cohen & Jacques Istas, 2000. "Identification of the Hurst Index of a Step Fractional Brownian Motion," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 101-111, January.
    • Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:101-111
    DOI: 10.1023/A:1009997729317
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    Citations

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    Cited by:

    1. Vu, Huong T.L. & Richard, Frédéric J.P., 2020. "Statistical tests of heterogeneity for anisotropic multifractional Brownian fields," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4667-4692.
    2. Pierre R. Bertrand & Abdelkader Hamdouni & Samia Khadhraoui, 2012. "Modelling NASDAQ Series by Sparse Multifractional Brownian Motion," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 107-124, March.
    3. Céline Lacaux, 2005. "Fields with Exceptional Tangent Fields," Journal of Theoretical Probability, Springer, vol. 18(2), pages 481-497, April.
    4. Sergio Bianchi & Massimiliano Frezza, 2018. "Liquidity, Efficiency and the 2007-2008 Global Financial Crisis," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 375-404, November.
    5. Pierre R. Bertrand & Marie-Eliette Dury & Bing Xiao, 2020. "A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models," Post-Print hal-03031766, HAL.
    6. Frezza, Massimiliano, 2012. "Modeling the time-changing dependence in stock markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(12), pages 1510-1520.
    7. Bardet, Jean-Marc & Surgailis, Donatas, 2013. "Nonparametric estimation of the local Hurst function of multifractional Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1004-1045.
    8. Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
    9. repec:jss:jstsof:23:i01 is not listed on IDEAS
    10. Frezza, Massimiliano & Bianchi, Sergio & Pianese, Augusto, 2021. "Fractal analysis of market (in)efficiency during the COVID-19," Finance Research Letters, Elsevier, vol. 38(C).
    11. Massimiliano Frezza & Sergio Bianchi & Augusto Pianese, 2022. "Forecasting Value-at-Risk in turbulent stock markets via the local regularity of the price process," Computational Management Science, Springer, vol. 19(1), pages 99-132, January.

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