Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates

By Matthieu Garcin. 2017

64 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d44527f3076a6e3862884b3060eba6835bcf3306