Overfitting of Hurst estimators for multifractional Brownian motion a fitting test advocating simple models

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Bibliographische Detailangaben
Veröffentlicht in:	Risk and decision analysis
1. Verfasser:	Bertrand, Pierre Raphaël (VerfasserIn)
Weitere Verfasser:	Combes, Jean-Louis (VerfasserIn), Dury, Marie-Eliette (VerfasserIn), Hadouni, Doha (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	2018
Schlagworte:	Fractional Brownian motion (fBm) > multifractional Brownian motion (mBm) > time-varying Hurst index > wavelet series expansion > finance time series > Aufsatz in Zeitschrift
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