"Efficient estimation of the Hurst parameter in high frequency financial ..."

Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar (2003)

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DOI: 10.1109/CIFER.2003.1196276

access: closed

type: Conference or Workshop Paper

metadata version: 2017-06-02

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Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar:
Efficient estimation of the Hurst parameter in high frequency financial data with seasonalities using wavelets. CIFEr 2003: 309-316

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