On the optimal forecast with the fractional Brownian motion-Reference-Cited by-同舟云学术

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On the optimal forecast with the fractional Brownian motion

Published:2024-01-15 Issue:2 Volume:24 Page:337-346
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Wang Xiaohu¹²,Yu Jun³,Zhang Chen³

Affiliation:

1. School of Economics, Fudan University, Shanghai, People's Republic of China

2. Shanghai Institute of International Finance and Economics, Shanghai, People's Republic of China

3. Department of Finance and Business Economics, Faculty of Business Administration, University of Macau, Avenida da Universidade, Taipa, Macau, People's Republic of China

Funder

Shanghai Pujiang

Ministry of Education, Singapore

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2297730

Reference15 articles.

1. Modeling and Forecasting Realized Volatility

2. Separating microstructure noise from volatility

3. Pricing under rough volatility

4. A Simple Approximate Long-Memory Model of Realized Volatility

5. Comparing Predictive Accuracy

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Probabilistic Models and Statistics for Electronic Financial Markets in the Digital Age;Jahresbericht der Deutschen Mathematiker-Vereinigung;2024-07-02

2. Fractional gaussian noise: Spectral density and estimation methods;Journal of Time Series Analysis;2024-05-20

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