Hurst exponents and delampertized fractional Brownian motions (Q5234012)
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scientific article; zbMATH DE number 7102646
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| English | Hurst exponents and delampertized fractional Brownian motions |
scientific article; zbMATH DE number 7102646 |
Statements
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (English)
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9 September 2019
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foreign exchange rates
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fractional Brownian motion
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Hurst exponent
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Lamperti transform
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Ornstein-Uhlenbeck process
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stationary process
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0.7624467015266418
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0.7507716417312622
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0.7503055334091187
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