@techreport{20.500.12134/5665,
author = {León-Rincón, Carlos Eduardo},
author = {Reveiz-Herault, Alejandro},
year = {2011},
month = {4},
url = {https://repositorio.banrep.gov.co/handle/20.500.12134/5665},
abstract = {As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long-term dependence, also referred as Fractional Geometric Brownian Motion},
publisher = {Banco de la República},
booktitle = {Borradores de Economía},
volume = {Borradores de Economía; No. 648},
title = {Montecarlo simulation of long-term dependent processes: a primer},
keywords = {Montecarlo simulation},
keywords = {Fractional brownian motion},
keywords = {Hurst exponent},
keywords = {Long-term dependence},
keywords = {Biased random walk},
doi = {https://doi.org/10.32468/be.648},
}