Long-range correlations and nonstationarity in the Brazilian stock market
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References listed on IDEAS
- J.L. McCauley & G.h. Gunaratne, 2002.
"An empirical model of volatility of returns and option pricing,"
Computing in Economics and Finance 2002
186, Society for Computational Economics.
- McCauley, Joseph L. & Gunaratne, Gemunu H., 2003. "An empirical model of volatility of returns and option pricing," MPRA Paper 2161, University Library of Munich, Germany.
- Leonard I. Nakamura, 2000. "Economics and the new economy: the invisible hand meets creative destruction," Business Review, Federal Reserve Bank of Philadelphia, issue Jul, pages 15-30.
- McCauley, Joseph L. & Gunaratne, Gemunu H., 2003. "An empirical model of volatility of returns and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 329(1), pages 178-198.
- Gemunu H. Gunaratne & Joseph L. McCauley, 2002. "A theory for Fluctuations in Stock Prices and Valuation of their Options," Papers cond-mat/0209475, arXiv.org.
More about this item
KeywordsLong memory processes; Detrended fluctuation analysis; Hurst exponent; Econophysics; Multifractional Brownian motion;
StatisticsAccess and download statistics
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