Empirical results related to the analyses of economic-financial time series have pointed out an increasing interest towards both the stochastic process known as fractional Brownian motion and the so-called Rescaled Range analysis. In this paper some theoretical results related to the classical version of such an analysis are proposed.
Esponente di Hurst ed analisi Rescaled Range: alcuni risultati
CORAZZA, Marco
1996-01-01
Abstract
Empirical results related to the analyses of economic-financial time series have pointed out an increasing interest towards both the stochastic process known as fractional Brownian motion and the so-called Rescaled Range analysis. In this paper some theoretical results related to the classical version of such an analysis are proposed.File in questo prodotto:
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