| Autor: |
Bertrand, Pierre Raphaël, Combes, Jean-Louis, Dury, Marie-Eliette, Hadouni, Doha, Bianchi |
| Předmět: |
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| Zdroj: |
Risk & Decision Analysis; 2018, Vol. 7 Issue 1/2, p31-49, 19p |
| Abstrakt: |
The aim of this paper is to provide simple models with a time-varying Hurst index. Such models should be simple as much as possible and well fit the estimated Hurst index. After a recall on the fractional and multifractional Brownian motion and on the statistical estimation of the Hurst index, we propose a fitting test for a model with a time-varying Hurst index. Then, we give an approach to select a simple model. Our approach is illustrated by numerous numerical simulations and then applied to market finance data. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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