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Volumn 7, Issue 5, 2004, Pages 615-643

Estimating the fractal dimension of the S&P 500 index using wavelet analysis

Author keywords

Fractional Brownian motion; Heavy tailed marginals; High frequency data; Log scale spectrum; Long range dependence; S P 500 index; Wavelet analysis

Indexed keywords


EID: 7444272552     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S021902490400258X     Document Type: Article
Times cited : (59)

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