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  • Search: subject:"Definiteness of covariance Functions"
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Subject
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Anti-persistence 1 Definiteness of covariance Functions 1 Dissipative dynamic systems 1 Gaussian Processes 1 Hurst Exponent 1 Local Self-similarity 1 Mixed Fractional Brownian Motion 1 Persistence 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Dominique, C-René 1 Rivera-Solis, Luis Eduardo 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index
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...
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