Hurst exponents and delampertized fractional Brownian motions
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More about this item
Keywords
fractional Brownian motion; Hurst exponent; Lamperti transform; Ornstein-Uhlenbeck process; foreign exchange rates;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-12-03 (Econometrics)
- NEP-ETS-2018-12-03 (Econometric Time Series)
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