Work

Parameter identification in mixed Brownian–fractional Brownian motions using Powell's optimization algorithm

Year: 2014

Type: article

Source: Economic Modelling

DOI: 10.1016/j.econmod.2014.04.026

Authors: Pu Zhang, Qi Sun, Wei-Lin Xiao

Institutions: Changzhou University, Zhejiang Gongshang University, Zhejiang University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Marathon, National Natural Science Foundation of China

Awards: 基于高阶矩风险的非常规突发事件应急管理优化模型研究, 奈特不确定性下动态投资组合选择模型与算法研究, G3362900256, 统计信息不足情形下的局内金融资产配置与定价研究, 长记忆模式下股本权证的定价与参数估计研究

OpenAlex ID: W2011623352

FWCI: 1.757

Cites: 24

Cited by: 18

Related to: 10