Identification of the Hurst Index of a Step Fractional Brownian Motion

By A. Benassi, P. Bertrand, Serge Cohen, J. Istas. 2000

72 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/97b2cc8d5f8f5f9f8866fe4c5d174c2ea71f10dd

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Augusto Pianese
2. Alexandre Pantanella
3. Sergio Bianchi
4. Matthieu Garcin
5. Ayoub Ammy-Driss

In Finance

1. Augusto Pianese
2. Alexandre Pantanella
3. Sergio Bianchi
4. Matthieu Garcin
5. Ayoub Ammy-Driss

Citations in the corpus

• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (2013, methodology): “A semi-parametric estimator for a piece-wise constant Ht was proposed by Benassi et al. (1999, 2000) with the aim of detecting abrupt changes of the Hölder exponent for Gaussian processes with almost surely continuous paths.”