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Keywords: Quasi-fractional 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
... be contacted at: calumturvey@hotmail.com (Equation 10) with the linear-in-variance result holding for (Equation 11) . © Emerald Group Publishing Limited 2016 Brownian motion Commodity futures Hurst coefficient Quasi-fractional Brownian motion In this paper we make...
