A General Class of Multifractional Processes and Stock Price Informativeness
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- Werner Antweiler & Murray Z. Frank, 2004. "Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards," Journal of Finance, American Finance Association, vol. 59(3), pages 1259-1294, June.
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- Angelini, Daniele & Bianchi, Sergio, 2023. "Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model," Chaos, Solitons & Fractals, Elsevier, vol. 172(C).
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This paper has been announced in the following NEP Reports:- NEP-ECM-2017-08-20 (Econometrics)
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