Montecarlo simulation of long-term dependent processes: a primer

Simple item page
dc.coverage.sucursalBogotáspa
dc.creatorLeón-Rincón, Carlos Eduardo
dc.creatorReveiz-Herault, Alejandro
dc.creator.firmaCarlos León
dc.date.accessioned2011-04-10T08:30:10Zeng
dc.date.available2011-04-10T08:30:10Z
dc.date.created2011-04-10
dc.date.issued2011-04-10
dc.description.abstractAs 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 Motioneng
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/5665spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/5665
dc.language.isospaspa
dc.publisherBanco de la Repúblicaspa
dc.relation.doihttps://doi.org/10.32468/be.648spa
dc.relation.dotechttps://ideas.repec.org/p/col/000094/008277.htmlspa
dc.relation.ispartofDocumentos de Trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 648
dc.relation.numberBorrador 648spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/648.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.handleRepecRePEc:bdr:borrec:648spa
dc.subject.jelC53 - Forecasting and Prediction Methods; Simulation Methodseng
dc.subject.jelspaC53 - Métodos de pronóstico y predicción; métodos de simulaciónspa
dc.subject.keywordMontecarlo simulationeng
dc.subject.keywordFractional brownian motioneng
dc.subject.keywordHurst exponenteng
dc.subject.keywordLong-term dependenceeng
dc.subject.keywordBiased random walkeng
dc.subject.lembMovimiento brownianospa
dc.subject.lembRendimiento financierospa
dc.subject.lembRiesgo (Economía) -- Modelosspa
dc.subject.lembLiquidez (Economía) -- Modelosspa
dc.subject.lembPrecios -- Métodos de simulaciónspa
dc.titleMontecarlo simulation of long-term dependent processes: a primerspa
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

Files

Original bundle
Now showing 1 - 5 of 7
Thumbnail Image
Name:
be_648.pdf
Size:
4.76 MB
Format:
Adobe Portable Document Format
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5665/be_648.pdf
Description:
Borrador de Economia No. 648
Download
Thumbnail Image
Name:
BDE-648-001.JPG
Size:
38.39 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5665/BDE-648-001.JPG
Description:
Imagen 648-001
Download
Thumbnail Image
Name:
BDE-648-002.JPG
Size:
68.51 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5665/BDE-648-002.JPG
Description:
Imagen 648-002
Download
Thumbnail Image
Name:
BDE-648-003.JPG
Size:
105.08 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5665/BDE-648-003.JPG
Description:
Imagen 648-003
Download
Thumbnail Image
Name:
BDE-648-004.JPG
Size:
61.29 KB
Format:
Joint Photographic Experts Group/JPEG File Interchange Format (JFIF)
FILE
https://repositorio.banrep.gov.co/bitstream/handle/20.500.12134/5665/BDE-648-004.JPG
Description:
Imagen 648-004
Download
License bundle
Now showing 1 - 1 of 1
Name:
license.txt
Size:
1.71 KB
Format:
Plain Text
Description:
Download

Collections

Borradores de Economía