CINECA IRIS Institutional Research Information System
IRIS è la soluzione IT che facilita la raccolta e la gestione dei dati relativi alle attività e ai prodotti della ricerca. Fornisce a ricercatori, amministratori e valutatori gli strumenti per monitorare i risultati della ricerca, aumentarne la visibilità e allocare in modo efficace le risorse disponibili.
EnglishWe extend and adapt a class of estimators of the parameter H of the fractional Brownian motion in order to estimate the (time-dependent) memory function of a multifractional process. We provide: (a) the estimator's distribution when H \in (0, 3/4); (b) the confidence interval under the null hypothesis H=1/2; (c) a scaling law, independent on the value of H, discriminating between fractional and multifractional processes. Furthermore, assuming as a model for the price process the multifractional Brownian motion, empirical evidence is offered which is able to conciliate the inconsistent results achieved in estimating the intensity of dependence in financial time series
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
| Titolo: | Pathwise Identification of the Memory Function of the Multifractional Brownian Motion with Application to Finance |
| Autori: | |
| Data di pubblicazione: | 2005 |
| Rivista: | |
| Abstract: | We extend and adapt a class of estimators of the parameter H of the fractional Brownian motion in order to estimate the (time-dependent) memory function of a multifractional process. We provide: (a) the estimator's distribution when H \in (0, 3/4); (b) the confidence interval under the null hypothesis H=1/2; (c) a scaling law, independent on the value of H, discriminating between fractional and multifractional processes. Furthermore, assuming as a model for the price process the multifractional Brownian motion, empirical evidence is offered which is able to conciliate the inconsistent results achieved in estimating the intensity of dependence in financial time series |
| Handle: | http://hdl.handle.net/11580/7426 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
File in questo prodotto:
http://hdl.handle.net/11580/7426
Copyright © 2021