Search Results - subject:"multifractional Brownian motion"

On sectoral market efficiency

Villena, Marcelo J.; Araneda, Axel A. - In: Finance research letters 61 (2024), pp. 1-9

Persistent link: https://www.econbiz.de/10014490705

Fractal analysis of market (in)efficiency during the COVID-19

Frezza, Massimiliano; Bianchi, Sergio; Pianese, Augusto - In: Finance research letters 38 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10012490961

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

Bertrand, Pierre Raphaël; Combes, Jean-Louis; Dury, … - In: Risk and decision analysis 7 (2018) 1/2, pp. 31-49

Persistent link: https://www.econbiz.de/10011945637

Financial crisis: a new measure for risk of pension funds assets

Cadoni, M.; Melis, R.; Trudda, A. - Centro Ricerche Nord Sud (CRENoS) - 2012

asset returns can be described by a multifractional Brownian motion, we evaluate the risk using the time dependent Hurst …

Persistent link: https://www.econbiz.de/10010667349

Pension funds rules : paradoxes in risk control

Cadoni, Marinella; Melis, Roberta; Trudda, Alessandro - In: Finance research letters 22 (2017), pp. 20-29

Persistent link: https://www.econbiz.de/10011807947

Characterizing Detrended Fluctuation Analysis of multifractional Brownian motion

Setty, V.A.; Sharma, A.S. - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 698-706

extensively to estimate a Hurst exponent in non-stationary data. Multifractional Brownian motion (mBm) broadly encompasses a set …

Persistent link: https://www.econbiz.de/10011117907

Global Asset Return in Pension Funds: a dynamical risk analysis

Sergio, Bianchi; Alessandro, Trudda - Volkswirtschaftliche Fakultät, … - 2008

by a multifractional Brownian motion using the function H(t) to detect high or low volatility phases. A procedure is …

Persistent link: https://www.econbiz.de/10005621800

Multifractional stochastic volatility models

Corlay, Sylvain; Lebovits, Joachim; Lévy Véhel, Jacques - In: Mathematical finance : an international journal of … 24 (2014) 2, pp. 364-402

Persistent link: https://www.econbiz.de/10010357370

Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

Bardet, Jean-Marc; Surgailis, Donatas - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1004-1045

generalized quadratic variations (QV) estimator. The example of the multifractional Brownian motion is studied in detail. A …

Persistent link: https://www.econbiz.de/10010608632

2-microlocal analysis of martingales and stochastic integrals

Balança, Paul; Herbin, Erick - In: Stochastic Processes and their Applications 122 (2012) 6, pp. 2346-2382

Recently, a new approach in the fine analysis of sample paths of stochastic processes has been developed to predict the evolution of the local regularity under (pseudo-)differential operators. In this paper, we study the sample paths of continuous martingales and stochastic integrals. We proved...

Persistent link: https://www.econbiz.de/10011065004