Conditional distributions of processes related to fractional Brownian motion (Q4918570)
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scientific article; zbMATH DE number 6157736
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| English | Conditional distributions of processes related to fractional Brownian motion |
scientific article; zbMATH DE number 6157736 |
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Conditional Distributions of Processes Related to Fractional Brownian Motion (English)
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25 April 2013
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affine process
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conditional characteristic function
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fractional affine process
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short rate
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macroeconomic variables process
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fractional Brownian motion
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long-range dependence
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interest rate
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zero-coupon bond
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fractional vasicek model
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prediction
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0.7690160870552063
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0.768118143081665
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0.7680149674415588
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0.7663446664810181
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