Montecarlo simulation of long-term dependent processes: a primer

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Borradores de Economía; No. 648
Date published
2011-04-10
Date of last update
2011-04-10
Author
León-Rincón, Carlos Eduardo
Reveiz-Herault, Alejandro
Document language
spa
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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
JEL Codes
C53 - Forecasting and Prediction Methods; Simulation MethodsC15 - Statistical Simulation Methods: GeneralC63 - Computational Techniques; Simulation ModelingG17 - Financial Forecasting and SimulationG14 - Information and Market Efficiency; Event Studies; Insider Trading
Keywords
Montecarlo simulation ; Fractional brownian motion ; Hurst exponent ; Long-term dependence ; Biased random walk ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/5665
https://hdl.handle.net/20.500.12134/5665
https://doi.org/10.32468/be.648
https://ideas.repec.org/p/bdr/borrec/648.html
https://ideas.repec.org/p/col/000094/008277.html
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