English, Article edition: MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÃLDER REGULARITY S. BIANCHI; A. PIANESE

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/82993
Physical Description
  • article
Language
  • English

Edition details

Title
  • MULTIFRACTIONAL PROPERTIES OF STOCK INDICES DECOMPOSED BY FILTERING THEIR POINTWISE HÃLDER REGULARITY
Author
  • S. BIANCHI
  • A. PIANESE
Physical Description
  • article
Notes
  • We propose a decomposition of financial time series into Gaussian subsequences characterized by a constant Hölder exponent. In (multi)fractal models this condition is equivalent to the subsequences themselves being stationarity. For the different subsequences, we study the scaling of the variance and the bias that is generated when the Hölder exponent is re-estimated using traditional estimators. The results achieved by both analyses are shown to be strongly consistent with the assumption that the price process can be modeled by the multifractional Brownian motion, a nonstationary process whose Hölder regularity changes from point to point.
  • Multifractional Brownian motion, pointwise Hölder exponent estimation, stock price process
  • RePEc:wsi:ijtafx:v:11:y:2008:i:06:p:567-595
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment