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Autocorrelation and the Sum of Stochastic Variables

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  • Sergio Da Silva

    (Federal University of Rio Grande Do Sul, Brazil)

Abstract

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Suggested Citation

  • Sergio Da Silva, 2004. "Autocorrelation and the Sum of Stochastic Variables," Finance 0405020, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0405020
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0405/0405020.pdf
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    References listed on IDEAS

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    1. Figueiredo, Annibal & Gleria, Iram & Matsushita, Raul & Da Silva, Sergio, 2003. "Autocorrelation as a source of truncated Lévy flights in foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 601-625.
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    More about this item

    JEL classification:

    • G - Financial Economics

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