Some empirical studies for the applications of fractional $ G $-Brownian motion in finance

Some empirical studies for the applications of fractional $ G $-Brownian motion in finance

Since the fractional $ G $-Brownian motion (fGBm) generalizes the concepts of the standard Brownian motion, fractional Brownian motion, and $ G $-Brownian motion, while it can exhibit long-range dependence or antipersistence and feature the volatility uncertainty simultaneously, it can be a better a...

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Bibliographic Details
Main Authors: Changhong Guo, Shaomei Fang, Yong He, Yong Zhang
Format: Article
Language:English
Published: AIMS Press 2025-01-01
Series:Quantitative Finance and Economics
Subjects:
fractional $ g $-brownian motion
h-$ g $-normal distribution
volatility smoothness
rfsv-fgbm
parameter estimates
Online Access:https://www.aimspress.com/article/doi/10.3934/QFE.2025001
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