Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series by Francesco Serinaldi
Author:Francesco Serinaldi , Date: March 19, 2022
,Views: 12
Author:Francesco Serinaldi
Format: pdf
Tags: Hurst parameter, Long range dependence, Fractional Gaussian noise, Fractional Brownian motion, Energy market prices, Stock market prices, Anti-persistence
Publisher: Elsevier B.V.
Published: 2010-04-24T06:56:16+00:00
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