Autocorrelation and the Sum of Stochastic Variables
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- Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003.
"Autocorrelation as a source of truncated Lévy flights in foreign exchange rates,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 601-625.
- Sergio Da Silva, 2004. "Autocorrelation as a Source of Truncated Levy Flights in Foreign Exchange Rates," Finance 0405018, University Library of Munich, Germany.
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JEL classification:
- G - Financial Economics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2004-05-26 (Econometric Time Series)
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