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~person:"Zhang, Chen"
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Search: subject:"Fractional Brownian Motion"
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Fractional Brownian motion
3
Stochastic process
3
Stochastischer Prozess
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Whittle likelihood
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Change-of-frequency
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Conditional expectation
1
Estimation theory
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Option pricing theory
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Realized volatility
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fractional Ornstein-Uhlenbeck process
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spectral density
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Zhang, Chen
Asai, Manabu
6
McAleer, Michael
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Mišura, Julija S.
6
Phillips, Peter C.B.
6
Bassler, Kevin E.
5
Gunaratne, Gemunu H.
5
McCauley, Joseph L.
5
Rostek, Stefan
5
Yu, Jun
5
Gorostiza, Luis G.
4
Härdle, Wolfgang
4
Reveiz, Alejandro
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Rosenbaum, Mathieu
4
Tindel, Samy
4
Ayache, Antoine
3
Björk, Tomas
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Bojdecki, Tomasz
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Breton, A. Le
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Davidson, James
3
Garavaglia, M.
3
Garcin, Matthieu
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Hall, Peter
3
Hashimzade, Nigar
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Hult, Henrik
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Jing, Bingyi
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Kleinow, Torsten
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Kleptsyna, M.L.
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Marinucci, D
3
Michna, Zbigniew
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Pérez, D.G.
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Robinson, Peter M.
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Rosso, O.A.
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Schmidt, Peter
3
Schöbel, Rainer
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Shokrollahi, Foad
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Wang, Xiaohu
3
Xiang, Yun
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Zunino, L.
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On the spectral density of fractional Ornstein-Uhlenbeck process : approximation, estimation, and model comparison
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2023
Persistent link: https://www.econbiz.de/10014320456
Saved in:
2
Finite sample comparison of alternative estimators for fractional Gaussian noise
Shi, Shuping
;
Yu, Jun
;
Zhang, Chen
-
2022
Persistent link: https://www.econbiz.de/10013542219
Saved in:
3
On the optimal forecast with the
fractional
Brownian
motion
Wang, Xiaohu
;
Yu, Jun
;
Zhang, Chen
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 337-346
Persistent link: https://www.econbiz.de/10014552006
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