most citedQuadratic variation, p-variation and integration with applications to stock price modelling

12 citations · 14 across the 3 of their papers we have counts for

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math.ST2000★ 2 cited

Estimating the p-variation index of a sample function: An application to financial data set

R. Norvaisa, D. M. Salopek

This paper modifies a box-counting method of estimating a fractal dimension of a graph, and applies it to estimate the roughness of a sample function of a stochastic process such a…