FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS

DOI10.1142/S0129183108012820zbMath1157.91433MaRDI QIDQ3607473

Markus Porto, H. Eduardo Roman

Publication date: 2 March 2009

Published in: International Journal of Modern Physics C (Search for Journal in Brave)

Mathematics Subject Classification ID

Economic time series analysis (91B84) Brownian motion (60J65) Statistical methods; economic indices and measures (91B82)

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