Turvey, Calum G.; Wongsasutthikul, Paitoon - In: Agricultural Finance Review 76 (2016) 1, pp. 54-75
Purpose – The purpose of this paper is to argue that a stationary-differenced autoregressive (AR) process with lag greater than 1, AR( q 1), has certain properties that are consistent with a fractional Brownian motion (fBm). What the authors are interested in is the investigation of...
