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How rich is the class of multifractional Brownian motions?
2 references·7 citing·32 second hop
How rich is the class of multifractional Brownian motions? (2005)How rich is the class of multifractional …Theory and applications of long-range dependence (2003)Theory and applications of lo…Integration questions related to fractional Brownian motion (2000)Integration questions related…Multi-fractional Stochastic Dominance: Mathematical Foundations (2023)Multi-fractional Stochastic D…MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)MULTIFRACTIONAL STOCHASTIC VO…Nonparametric estimation of the local Hurst function of multifractional Gaussian processes (2012)Nonparametric estimation of t…Integral representations and properties of operator fractional Brownian motions (2011)Integral representations and …Identification of the Multivariate Fractional Brownian Motion (2011)Identification of the Multiva…Basic properties of the Multivariate Fractional Brownian Motion (2010)Basic properties of the Multi…Cross-correlation of long-range correlated series (2009)Cross-correlation of long-ran…Fractional Brownian Motions, Fractional Noises and Applications (1968)Simulation of Stationary Gaussian Processes in [0, 1]d (1994)THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I (2000)Integration with respect to fractal functions and stochastic calculus. I (1998)Stochastic Analysis of the Fractional Brownian Motion (1999)Stochastic Calculus for Fractional Brownian Motion I. Theory (2000)Stochastic integration with respect to fractional brownian motion (2003)Stochastic integration with respect to the fractional Brownian motion (2003)Analysis of the Rosenblatt process (2008)Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Identifying the multifractional function of a Gaussian process (1998)On the spectrum of fractional Brownian motions (1989)A wavelet-based joint estimator of the parameters of long-range dependence (1999)The pricing of commodity contracts (1976)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multifractal Fourier detrended cross-correlation analysis of traffic signals (2011)The cross-correlations of stock markets based on DCCA and time-delay DCCA (2011)Price–volume multifractal analysis and its application in Chinese stock markets (2012)The Pricing of Options and Corporate Liabilities (1973)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (2017)ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL (2018)From Constant to Rough: A Survey of Continuous Volatility Modeling (2023)The Utility Analysis of Choices Involving Risk (1948)The Utility of Wealth (1952)The Efficiency Analysis of Choices Involving Risk (1969)Exponents, Symmetry Groups and Classification of Operator Fractional Brownian Motions (2011)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)Bootstrap for Empirical Multifractal Analysis (2007)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)
this work references cited by second hop

References

  • 2003Theory and applications of long-range dependence989 cited
  • 2000Integration questions related to fractional Brownian motion357 cited

Cited by

  • 2009Cross-correlation of long-range correlated series107 cited
  • 2011Integral representations and properties of operator fractional Brownian motions85 cited
  • 2013MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS84 cited
  • 2011Identification of the Multivariate Fractional Brownian Motion57 cited
  • 2010Basic properties of the Multivariate Fractional Brownian Motion46 cited
  • 2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes39 cited
  • 2023Multi-fractional Stochastic Dominance: Mathematical Foundations2 cited

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