%0 Journal Article
	%A Chatchai Pesee
	%D 2008
	%J International Journal of Mathematical and Computational Sciences
	%B World Academy of Science, Engineering and Technology
	%I Open Science Index 20, 2008
	%T Long-Range Dependence of Financial Time Series Data
	%U https://publications.waset.org/pdf/12428
	%V 20
	%X This paper examines long-range dependence or longmemory
of financial time series on the exchange rate data by the
fractional Brownian motion (fBm). The principle of spectral density
function in Section 2 is used to find the range of Hurst parameter (H)
of the fBm. If 0< H 
	%P 518 - 522