FRACTIONAL BROWNIAN MOTION WITH STOCHASTIC VARIANCE: MODELING ABSOLUTE RETURNS IN STOCK MARKETS
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Publication:3607473
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)
Economic time series analysis (91B84) Brownian motion (60J65) Statistical methods; economic indices and measures (91B82)
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