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Measuring the roughness of random paths by increment ratios
10 references·1 citing·31 second hop
Measuring the roughness of random paths by increment ratios (2011)Measuring the roughness of random paths b…Spectral estimation of the fractional order of a Lévy process (2009)Spectral estimation of the fr…Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process (2009)Nonparametric estimation of t…Nonparametric estimation for Lévy processes from low-frequency observations (2009)Nonparametric estimation for …Estimating the degree of activity of jumps in high frequency data (2009)Estimating the degree of acti…Identification of multifractional Brownian motion (2005)Identification of multifracti…Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths (2001)Estimating the Parameters of …Identifying the multifractional function of a Gaussian process (1998)Identifying the multifraction…Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Quadratic variations and esti…Efficient Parameter Estimation for Self-Similar Processes (1989)Efficient Parameter Estimatio…Convergence en loi des H-variations d'un processus gaussien stationnaire sur R (1989)Convergence en loi des H-vari…Nonparametric estimation of the local Hurst function of multifractional Gaussian processes (2012)Nonparametric estimation of t…Hyperbolic Distributions in Finance (1995)Financial Modelling with Jump Processes (2003)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2013)Intermittent process analysis with scattering moments (2015)Jump activity estimation for pure-jump semimartingales via self-normalized statistics (2015)Fractional Brownian Motions, Fractional Noises and Applications (1968)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)Testing for jumps in a discretely observed process (2009)Volatility Jumps (2010)Jumps and Information Flow in Financial Markets (2011)Fact or friction: Jumps at ultra high frequency (2014)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)Approach to an irregular time series on the basis of the fractal theory (1988)Option pricing when underlying stock returns are discontinuous (1976)Lévy processes : theory and applications (2001)Nonparametric inference for discretely sampled Lévy processes (2012)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)Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Nonparametric estimation for pure jump Lévy processes based on high frequency data (2009)Nonparametric adaptive estimation for pure jump Lévy processes (2010)Efficient estimation of integrated volatility in presence of infinite variation jumps (2014)The detection and estimation of long memory in stochastic volatility (1998)Estimation and interpretation of 1/fα noise in human cognition (2004)Persistence in the cryptocurrency market (2018)
this work references cited by second hop

References

  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
  • 2009Estimating the degree of activity of jumps in high frequency data288 cited
  • 2001Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths193 cited
  • 1998Identifying the multifractional function of a Gaussian process133 cited
  • 2009Nonparametric estimation for Lévy processes from low-frequency observations121 cited
  • 1989Convergence en loi des H-variations d'un processus gaussien stationnaire sur R83 cited
  • 2005Identification of multifractional Brownian motion77 cited
  • 2009Spectral estimation of the fractional order of a Lévy process50 cited
  • 2009Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process43 cited

Cited by

  • 2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes39 cited

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