A note on scaled variance ratio estimation of the Hurst exponent with application to agricultural commodity prices

Physica A: Statistical Mechanics and its Applications

Volumn 377, Issue 1, 2007, Pages 155-165

  Turvey, Calum G ^a  

^a Cornell University ^*  (United States)

Author keywords

Agricultural commodity prices; Fractional Brownian motion; Geometric Brownian motion; Scaled variance ratios

Indexed keywords

AGRICULTURAL COMMODITY PRICES; FRACTIONAL BROWNIAN MOTION; GEOMETRIC BROWNIAN MOTION; SCALED VARIANCE RATIOS;

AGRICULTURAL PRODUCTS; BROWNIAN MOVEMENT; COMPUTER SIMULATION; FINANCIAL DATA PROCESSING; MONTE CARLO METHODS; TIME SERIES ANALYSIS;

INDUSTRIAL ECONOMICS;

COMPUTER PROGRAMS; ECONOMICS; PRODUCTS;

EID: 33846226719     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.11.022     Document Type: Article

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