Open AccessFractional Ornstein-Uhlenbeck for index prices of FTSE Bursa Malaysia KLCI
Author(s) -
Kho Chia Chen,
Arifah Bahar,
Chee-Ming Ting
Publication year - 2014
Publication title -
aip conference proceedings
Language(s) - English
Resource type - Conference proceedings
eISSN - 1551-7616
pISSN - 0094-243X
DOI - 10.1063/1.4887704
Subject(s) - ornstein–uhlenbeck process , hurst exponent , volatility (finance) , econometrics , index (typography) , stochastic volatility , mathematics , economics , statistics , stochastic process , computer science , world wide web
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