Mixed fractional Brownian motion, short and long-term Dependence and economic conditions: the case of the S&P-500 Index
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References listed on IDEAS
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- Dominique, C-Rene & Rivera-Solis, Luis Eduardo, 2012. "Could Investors’ Expectations Explain Temporal Variations in Hurst’s Exponent, Loci of Multifractal Spectra, and Statistical Prediction Errors? The Case of the S&P 500 Index," MPRA Paper 41407, University Library of Munich, Germany, revised 26 Feb 2012.
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More about this item
KeywordsGaussian Processes; Mixed Fractional Brownian Motion; Hurst Exponent; Local Self-similarity; Persistence; Anti-persistence; Definiteness of covariance Functions; Dissipative dynamic systems;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-28 (All new papers)
- NEP-ECM-2011-11-28 (Econometrics)
- NEP-ETS-2011-11-28 (Econometric Time Series)
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