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Generalized Multifractional Brownian Motion: Definition and Preliminary Results
2 references·5 citing·16 second hop
Generalized Multifractional Brownian Motion: Definition and Preliminary Results (1999)Generalized Multifractional Brownian Moti…Identifying the multifractional function of a Gaussian process (1998)Identifying the multifraction…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Path properties of multifractal Brownian motion (2010)Path properties of multifract…MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS (2007)MULTIDIMENSIONAL BIFRACTIONAL…A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion (2006)A Central Limit Theorem for t…Regularity and Identification of Generalized Multifractional Gaussian Processes (2004)Regularity and Identification…On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion (2004)On the identification of the …Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Arbitrage in fractional Brownian motion models (2003)An Elementary Approach to a Girsanov Formula and Other Analytical Results on Fractional Brownian Motions (1999)Real harmonizable multifractional Lévy motions (2004)Stochastic Calculus for Fractional Brownian Motion and Related Processes (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)The Malliavin Calculus and Related Topics (1995)Stochastic Analysis of the Fractional Brownian Motion (1999)The Malliavin Calculus and Related Topics (2006)Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Processes. (1996)Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2011)Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Data (2012)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1998Identifying the multifractional function of a Gaussian process133 cited

Cited by

  • 2004On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion89 cited
  • 2007MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS33 cited
  • 2010Path properties of multifractal Brownian motion29 cited
  • 2006A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion20 cited
  • 2004Regularity and Identification of Generalized Multifractional Gaussian Processes19 cited

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