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Search: subject:"Fractional Brownian Motion"
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fractional Brownian motion
2
(G)ARCH
1
Persistence
1
Stable distributions
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Zolotarev parametrization
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critical exponents
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dependence
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financial markets
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frequency
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long memory
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price diffusion
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risk measurement
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Los, Cornelis A.
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EconWPA
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Cowles Foundation for Research in Economics, Yale University
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
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Départment des sciences administratives, Université du Québec en Outaouais (UQO)
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie
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Measurement of Financial Risk Persistence
Los, Cornelis A.
-
EconWPA
-
2005
them to the Mandelbrot-Hoskings' fractional difference operators, as occur in the
Fractional
Brownian
Motion
model (which …
Persistent link: https://www.econbiz.de/10005561591
Saved in:
2
The Degree of Stability of Price Diffusion
Los, Cornelis A.
-
EconWPA
-
2005
exponent, Zolotarev parametrization,
fractional
Brownian
motion
, financial markets. …
Persistent link: https://www.econbiz.de/10005134704
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