BDS Statistic

Definition:

A statistic based upon the correlation integral which examines the probability that a purely random system could have the same scaling properties as the system under study. See: Correlation Integral.

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Copyright © 2011 Campbell R. Harvey, Professor of Finance, Fuqua School of Business at Duke University

Term of the Day

Expected future return

The return that is expected to be earned on an asset in the future. Also called the expected return.

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