PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
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Publication:4675938
DOI10.1142/S0219024905002937zbMath1100.91037OpenAlexW2027966395MaRDI QIDQ4675938
Publication date: 6 May 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905002937
Fractional processes, including fractional Brownian motion (60G22) Economic time series analysis (91B84) Brownian motion (60J65) Financial applications of other theories (91G80)
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