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Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
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Nonparametric estimation of the local Hurst function of multifractional Gaussian processes (2012)Nonparametric estimation of the local Hur…Measuring the roughness of random paths by increment ratios (2011)Measuring the roughness of ra…Identification of multifractional Brownian motion (2005)Identification of multifracti…How rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…Real harmonizable multifractional Lévy motions (2004)Real harmonizable multifracti…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…Identifying the multifractional function of a Gaussian process (1998)Identifying the multifraction…Identification of filtered white noises (1998)Identification of filtered wh…Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994 (1997)Stable Non-Gaussian Random Pr…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)Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)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)Integration questions related to fractional Brownian motion (2000)Theory and applications of long-range dependence (2003)Cross-correlation of long-range correlated series (2009)Integral representations and properties of operator fractional Brownian motions (2011)MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Statistics for Long-Memory Processes. (1996)Forecasting with fractional Brownian motion: a financial perspective (2022)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)The variation of certain speculative prices (1997)Modelling by Lévy Processess for Financial Econometrics (2001)Multifractality Tests Using Bootstrapped Wavelet Leaders (2007)Analysis of the Rosenblatt process (2008)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)Local time and Tanaka formula for a Volterra-type multifractional Gaussian process (2010)Path properties of multifractal Brownian motion (2010)
this work references cited by second hop

References

  • 1997Stable Non-Gaussian Random ProcessesGennady Samorodnitsky and Murad S. Taqqu Chapman and Hall, 1994389 cited
  • 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
  • 1998Identifying the multifractional function of a Gaussian process133 cited
  • 2000The Generalized Multifractional Brownian Motion110 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited
  • 1989Convergence en loi des H-variations d'un processus gaussien stationnaire sur R83 cited
  • 2005Identification of multifractional Brownian motion77 cited
  • 2000Identification of the Hurst Index of a Step Fractional Brownian Motion67 cited
  • 1998Identification of filtered white noises66 cited
  • 2004Real harmonizable multifractional Lévy motions43 cited
  • 2011Measuring the roughness of random paths by increment ratios41 cited

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