On the optimal forecast with the fractional Brownian motion

On the optimal forecast with the fractional Brownian motion

This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a co...

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Bibliographic Details
Main Authors: WANG, Xiaohu, ZHANG, Chen, Jun YU
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Fractional Gaussian noise
Conditional expectation
Anti-persistence
Continuous record
Discrete record
Optimal forecast
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2632
https://ink.library.smu.edu.sg/context/soe_research/article/3631/viewcontent/Forecasting_fBm06.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2632
https://ink.library.smu.edu.sg/context/soe_research/article/3631/viewcontent/Forecasting_fBm06.pdf

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