Truncated Variation, Upward Truncated Variation and Downward Truncated Variation of Brownian Motion with Drift - their Characteristics and Applications
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- Olympia Hadjiliadis & Jan Vecer, 2006. "Drawdowns preceding rallies in the Brownian motion model," Quantitative Finance, Taylor & Francis Journals, vol. 6(5), pages 403-409.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-16 (All new papers)
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