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Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets.

Josephine DufitinemaSeppo PynnönenTommi Sottinen
Published in: Commun. Stat. Simul. Comput. (2022)
Keyphrases
  • stock market
  • maximum likelihood
  • discrete data
  • financial markets
  • continuous data
  • fractional brownian motion
  • similarity measure
  • high dimensional
  • maximum entropy
  • long range
  • stock returns