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Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models

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  • Pierre Raphaël Bertrand

    (LMBP - Laboratoire de Mathématiques Blaise Pascal - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique, LAPSCO - Laboratoire de Psychologie Sociale et Cognitive - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique)

  • Jean-Louis Combes

    (CERDI - Centre d'Études et de Recherches sur le Développement International - UdA - Université d'Auvergne - Clermont-Ferrand I - CNRS - Centre National de la Recherche Scientifique, CERDI - Centre d'Études et de Recherches sur le Développement International - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique)

  • Marie-Eliette Dury

    (UCA [2017-2020] - Université Clermont Auvergne [2017-2020], CERDI - Centre d'Études et de Recherches sur le Développement International - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique)

  • Doha Hadouni

    (UCA [2017-2020] - Université Clermont Auvergne [2017-2020], LMBP - Laboratoire de Mathématiques Blaise Pascal - UCA [2017-2020] - Université Clermont Auvergne [2017-2020] - CNRS - Centre National de la Recherche Scientifique, LMBA - Laboratoire de Mathématiques de Bretagne Atlantique - UBS - Université de Bretagne Sud - UBO - Université de Brest - CNRS - Centre National de la Recherche Scientifique)

  • Sergio Bianchi

Abstract

No abstract is available for this item.

Suggested Citation

  • Pierre Raphaël Bertrand & Jean-Louis Combes & Marie-Eliette Dury & Doha Hadouni & Sergio Bianchi, 2018. "Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models," Post-Print hal-01816206, HAL.
    • Handle: RePEc:hal:journl:hal-01816206
    DOI: 10.3233/RDA-180136
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    Cited by:

    1. Matthieu Garcin, 2019. "Fractal analysis of the multifractality of foreign exchange rates [Analyse fractale de la multifractalité des taux de change]," Working Papers hal-02283915, HAL.
    2. 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.
    3. 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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