TY  - GEN 
A1  - Leon-Rincon, Carlos Eduardo
A1  - Reveiz-Herault, Alejandro
DA  - 2011/04/04
PY  - 2011
UR  - https://repositorio.banrep.gov.co/handle/20.500.12134/5665
AB  - As a natural extension to Leon and Vivas (2010) and Leon 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...
LA  - spa
PB  - Banco de la Republica
T3  - Borradores de Economia
JF  - Borradores de Economia; No. 648
M3  - Open Access
T1  - Montecarlo simulation of long-term dependent processes: a primer
KW  - C53 - Forecasting and Prediction Methods; Simulation Methods
KW  - C15 - Statistical Simulation Methods: General
KW  - C63 - Computational Techniques; Simulation Modeling
KW  - G17 - Financial Forecasting and Simulation
KW  - G14 - Information and Market Efficiency; Event Studies; Insider Trading
KW  - Montecarlo simulation
KW  - Fractional brownian motion
KW  - Hurst exponent
KW  - Long-term dependence
KW  - Biased random walk
KW  - Movimiento browniano
KW  - Rendimiento financiero
KW  - Riesgo (Economia) -- Modelos
KW  - Liquidez (Economia) -- Modelos
KW  - Precios -- Metodos de simulacion
KW  - C63 - Tecnicas de computacion; modelos de simulacion
KW  - C15 - Metodos de simulacion estadistica: generalidades
KW  - C53 - Metodos de pronostico y prediccion; metodos de simulacion
KW  - G17 - Previsiones financieras y simulacion
KW  - G14 - Informacion y eficiencia del mercado; Estudios de casos; trafico de informacion privilegiada
DO  - https://doi.org/10.32468/be.648
L1  - https://ideas.repec.org/p/bdr/borrec/648.html
ER  -