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Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
16 references·8 citing·43 second hop
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References

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  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,658 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1997Arbitrage with Fractional Brownian Motion590 cited
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  • 2002The covariance structure of multifractional Brownian motion, with application to long range dependence111 cited
  • 2000The Generalized Multifractional Brownian Motion110 cited
  • 2011The Long Range Dependence Paradigm for Macroeconomics and Finance90 cited
  • 2004

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On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
89 cited
  • 2005Identification of multifractional Brownian motion77 cited
  • Cited by

    • 2020Fractal analysis of market (in)efficiency during the COVID-1949 cited
    • 2015Consistency of the drift parameter estimator for the discretized fractional Ornstein–Uhlenbeck process with Hurst index H ∈ (0, 12)27 cited
    • 2015EFFICIENT MARKETS AND BEHAVIORAL FINANCE: A COMPREHENSIVE MULTIFRACTIONAL MODEL22 cited
    • 2017Hypothesis testing of the drift parameter sign for fractional Ornstein–Uhlenbeck process19 cited
    • 2014Multifractional processes in finance19 cited
    • 2022A Composite Index for Measuring Stock Market Inefficiency17 cited
    • 2017Exploring the Persistent Behavior of Financial Markets16 cited
    • 2025Qualitative financial modelling in fractal dimensions15 cited