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Keywords: Brownian motion
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Journal Articles
An autoregressive approach to modeling commodity prices as a quasi-fractional Brownian motion
Available to Purchase
Journal:
Agricultural Finance Review
Agricultural Finance Review (2016) 76 (1): 54–75.
Published: 03 May 2016
...Calum G. Turvey; Paitoon Wongsasutthikul Purpose – The purpose of this paper is to argue that a stationary-differenced autoregressive (AR) process with lag greater than 1, AR(q>1), has certain properties that are consistent with a fractional Brownian motion (fBm). What the authors...
