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Search: subject:"Fractional Brownian Motion"
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fractional Brownian motion
2
(G)ARCH
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Persistence
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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
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Finance
Physica A: Statistical Mechanics and its Applications
33
Statistical Inference for Stochastic Processes
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Stochastic Processes and their Applications
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Statistics & Probability Letters
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Quantitative finance
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MPRA Paper
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Cowles Foundation Discussion Papers
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International journal of theoretical and applied finance
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Advances in Economic and Financial Research - DOFIN Working Paper Series
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Econometric reviews
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Finance and Stochastics
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Journal of mathematical finance
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International journal of financial engineering
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LSE Research Online Documents on Economics
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Mathematics and Computers in Simulation (MATCOM)
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Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
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RePAd Working Paper Series
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Risks : open access journal
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Agricultural finance review
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BORRADORES DE ECONOMIA
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Borradores de Economia
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Discussion Papers / Business School, University of Exeter
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Economic Modelling
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Economic modelling
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Financial innovation : FIN
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International Journal of Theoretical and Applied Finance (IJTAF)
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Mathematics of operations research
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SSE/EFI Working Paper Series in Economics and Finance
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The North American journal of economics and finance : a journal of financial economics studies
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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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