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A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion
8 references·0 citing·28 second hop
A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion (2006)A Central Limit Theorem for the Generaliz…Arbitrage in fractional Brownian motion models (2003)Arbitrage in fractional Brown…The Generalized Multifractional Brownian Motion (2000)The Generalized Multifraction…Identification of the Hurst Index of a Step Fractional Brownian Motion (2000)Identification of the Hurst I…A local method for estimating change points: the “Hat-function” (2000)A local method for estimating…Generalized Multifractional Brownian Motion: Definition and Preliminary Results (1999)Generalized Multifractional B…Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Quadratic variations and esti…Convergence en loi des H-variations d'un processus gaussien stationnaire sur R (1989)Convergence en loi des H-vari…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Real harmonizable multifractional Lévy motions (2004)Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Brownian Motion and Stochastic Calculus (1988)From $N$ Parameter Fractional Brownian Motions to $N$ Parameter Multifractional Brownian Motions (2006)Martingales and stochastic integrals in the theory of continuous trading (1981)Continuous Martingales and Brownian Motion (1999)A note on Wick products and the fractional Black-Scholes model (2005)Stochastic Integration and Differential Equations (2005)NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND (2006)Pricing Options in an Extended Black Scholes Economy with Illiquidity: Theory and Empirical Evidence (2006)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)DIFFUSION PROCESSES AND THEIR SAMPLE PATHS (1967)Detection of Abrupt Changes in Signals and Dynamical Systems (1985)Handbook of Brownian Motion — Facts and Formulae (1996)The multiple filter test for change point detection in time series (2018)Identifying the multifractional function of a Gaussian process (1998)MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS (2007)Path properties of multifractal Brownian motion (2010)On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion (2004)Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Power variation for Gaussian processes with stationary increments (2008)Bootstrap for Empirical Multifractal Analysis (2007)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Data (2012)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 2000The Generalized Multifractional Brownian Motion110 cited
  • 1989Convergence en loi des H-variations d'un processus gaussien stationnaire sur R83 cited
  • 2000Identification of the Hurst Index of a Step Fractional Brownian Motion67 cited
  • 1999Generalized Multifractional Brownian Motion: Definition and Preliminary Results61 cited
  • 2000A local method for estimating change points: the “Hat-function”19 cited

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