This paper proposes to model and forecast realized volatility (RV) using the fractional
Ornstein–Uhlenbeck (fO–U) process with a general Hurst parameter, H. A two-stage method …

Supplement to “Gaussian approximation of maxima of Wiener functionals and its application
to high-frequency data”. This supplement file contains the technical materials of the paper …

This paper studies the properties of a particular estimator of the fractal index of a time series
with a view to applications in financial econometrics and mathematical finance. We show …

This paper proposes a two-stage method for estimating parameters in a parametric fractional
continuous-time model based on discrete-sampled observations. In the first stage, the Hurst …

Fractal dimension is a useful characteristic for measuring the irregularity of random fields. In
this work, we employ the Euler characteristic (EC) of the excursion sets of a field to estimate …