Xiyue Han
- The roughness exponent and its model-free estimation
2021/11/19 by Xiyue Han, Han, Xiyue, Alexander Schied +1 · 1 citation
Economics, Econometrics and Finance · #26A30 #60F15 #60G22 #60G46 #62G05 #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistical Finance (q-fin.ST) #Statistics Theory (math.ST) #Stochastic processes and financial applications