Listar por tema "Hurst parameter"

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    • Article

      Long memory estimation in a non-Gaussian bivariate process (2022) 

      Salazar Gomez, Ledys Llasmin; Torres, Soledad; Kiseľák, J.; Fuders, F.; Ishimura, Naoyuki; Yoshizawa, Yasukazu; Ştehlík, Milan (Elsevier Inc., 2022-05-01)
      The main objective of this paper is to analyze fluctuations of foreign currency exchange rates and to identify / describe the dependence structure in stochastic processes associated with the foreign exchange market. ...