Measuring the roughness of random paths by increment ratios
Work
Year: 2011
Type: article
Abstract: A statistic based on increment ratios (IR's) and related to zero crossings of an increment sequence is defined and studied for the purposes of measuring the roughness of random paths. The main advanta... more
Source: Bernoulli
Authors Jean‐Marc Bardet, Донатас Сургайлис
Cites: 46
Cited by: 48
Related to: 10
FWCI: 3.518
Citation percentile (by year/subfield): 95.72
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Reduced inequalities
Open Access status: bronze