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A general framework for simulation of fractional fields
13 references·0 citing·38 second hop
A general framework for simulation of fractional fields (2007)A general framework for simulation of fra…Fractional Brownian motion (2006)Fractional Brownian motionPATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION (2005)PATH PROPERTIES OF THE LINEAR…How rich is the class of multifractional Brownian motions? (2005)How rich is the class of mult…SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (2004)SIMULATION METHODS FOR LINEAR…Real harmonizable multifractional Lévy motions (2004)Real harmonizable multifracti…Theory and applications of long-range dependence (2003)Theory and applications of lo…Generators of long-range dependent processes: A survey (2003)Generators of long-range depe…Series Representations of Lévy Processes from the Perspective of Point Processes (2001)Series Representations of Lév…Approximations of small jumps of Lévy processes with a view towards simulation (2001)Approximations of small jumps…Identification and properties of real harmonizable fractional Levy motions (2000)Identification and properties…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…On path properties of certain infinitely divisible processes (1989)On path properties of certain…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Extreme Values, Regular Variation and Point Processes (1987)Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes (1993)Simulation and Chaotic Behaviour of α-Stable Stochastic Processes. (1995)Modelling by Lévy Processes for Financial Econometrics (2001)Modelling by Lévy Processess for Financial Econometrics (2001)Hyperbolic Processes in Finance (2003)Integration questions related to fractional Brownian motion (2000)Cross-correlation of long-range correlated series (2009)Integral representations and properties of operator fractional Brownian motions (2011)MULTIFRACTIONAL STOCHASTIC VOLATILITY MODELS (2013)The Typical Spectral Shape of an Economic Variable (1966)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)Processes of normal inverse Gaussian type (1997)Generalized Hyperbolic and Inverse Gaussian Distributions: Limiting Cases and Approximation of Processes (2004)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)A Practical Guide to Heavy Tails: Statistical Techniques and Applications (1999)Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns (2007)A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence (2008)Estimating Heavy-Tail Exponents Through Max Self–Similarity (2011)Maximum likelihood estimation of stationary univariate fractionally integrated time series models (1992)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)Statistics for Long-Memory Processes. (1996)Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes (2008)When long memory meets the Kalman filter: A comparative study (2012)Two results on continuity and boundedness of stochastic convolutions (2005)Lévy driven moving averages and semimartingales (2009)A weak solution theory for stochastic Volterra equations of convolution type (2021)The 1/H -variation of the divergence integral with respect to the fractional Brownian motion for H>1/2 and fractional Bessel processes (2004)Pricing of Asian temperature risk (2011)Lp-valued stochastic convolution integral driven by Volterra noise (2018)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)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)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 2001Approximations of small jumps of Lévy processes with a view towards simulation300 cited
  • 2001Series Representations of Lévy Processes from the Perspective of Point Processes240 cited
  • 2004SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM130 cited
  • 2005How rich is the class of multifractional Brownian motions?98 cited
  • 2003Generators of long-range dependent processes: A survey92 cited
  • 2006Fractional Brownian motion64 cited
  • 1989On path properties of certain infinitely divisible processes60 cited
  • 2000Identification and properties of real harmonizable fractional Levy motions55 cited
  • 2004Real harmonizable multifractional Lévy motions43 cited
  • 2005PATH PROPERTIES OF THE LINEAR MULTIFRACTIONAL STABLE MOTION41 cited

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