Dominique, C-René; Rivera-Solis, Luis Eduardo - Volkswirtschaftliche Fakultät, … - 2011
The Kolmogorov-Mandelbrot-van Ness Process is a zero mean Gaussian process indexed by the Hurst Parameter (H). When it models financial data, a controversy arises as to whether or not financial data exhibit short or long-range dependence. This paper argues that the Mixed Fractional Brownian is a...