Hurst exponents and delampertized fractional Brownian motions
Year of publication: |
2019
|
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Authors: | Garcin, Matthieu |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 22.2019, 5, p. 1-26
|
Subject: | Foreign exchange rates | fractional Brownian motion | Hurst exponent | Lamperti transform | Ornstein-Uhlenbeck process | stationary process | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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