Type I and Type II Errors in the Unit Root Determination of a Fractional Brownian Motion
Year of publication: |
2010
|
---|---|
Authors: | Wongsasutthikul, Paitoon ; Turvey, Calum G. ; Power, Gabriel J. |
Institutions: | Agricultural and Applied Economics Association - AAEA |
Subject: | Unit root | Hurst exponent | Fractional Brownian Motion | Financial Economics | Risk and Uncertainty |
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