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Publication:2762651
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zbMath0999.91070MaRDI QIDQ2762651

Shuangzhe Liu, Christopher C. Heyde

Publication date: 9 January 2002


Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

geometric Brownian motionscaling propertiesfractal activity time


Mathematics Subject Classification ID

Economic time series analysis (91B84) Self-similar stochastic processes (60G18)


Related Items (9)

Detecting multifractal stochastic processes under heavy-tailed effects ⋮ Fitting the variance-gamma model to financial data ⋮ On diagnostics in conditionally heteroskedastic time series models under elliptical distributions ⋮ Student processes ⋮ On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions ⋮ On the controversy over tailweight of distributions. ⋮ Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments ⋮ Scaling issues for risky asset modelling ⋮ Stationary-increment Student and variance-gamma processes







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