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Type I and type II fractional Brownian motions: A reconsideration · Study

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ArticleType I and type II fractional Brownian motions: A reconsideration

James E. H. Davidson2008

Article2008

Type I and type II fractional Brownian motions: A reconsideration

James E. H. Davidson · Nigar Hashimzade

97 citations·0/0 files stored·Computational Statistics & Data Analysis

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Time Series Analysis and Forecasting

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1996Statistics for Long-Memory Processes.1996Statistics for Long-Memory Processes.1980Long memory relationships and the aggregation of dynamic models 1992Maximum likelihood estimation of stationary univariate fractionally integrated time series models 1987Tests for Hurst Effect 2008Long Memory Relationships and the Aggregation of Dynamic Models

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2023The impact of geopolitical risk on the behavior of oil prices and freight rates 2013Estimation of Long Memory in Integrated Variance 2017Fractional Unit Root Tests Allowing for a Structural Change in Trend under Both the Null and Alternative Hypotheses 2012Persistence and Cycles in the US Federal Funds Rate 2020Monitoring memory parameter change-points in long-memory time series

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Year2008

Typearticle

Published2008-11-20

VenueComputational Statistics & Data Analysis

ISSN-L0167-9473

Languageen

Citations97

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.csda.2008.11.008

openalex_workW2113515280

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