Levy, Joshua B.; Taqqu, Murad S. - In: Journal of Econometrics 181 (2014) 1, pp. 34-43
Many econometric quantities such as long-term risk can be modeled by Pareto-like distributions and may also display long-range dependence. If Pareto is replaced by Gaussian, then one can consider fractional Brownian motion whose increments, called fractional Gaussian noise, exhibit long-range...