The memory of stochastic volatility models (Q5932777): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+On large-sample estimation for the mean of a stationary random sequence
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
+Normal rank
@@ Property / cites work @@
+The detection and estimation of long memory in stochastic volatility
+Normal rank
@@ Property / cites work @@
+Tests for Hurst effect
@@ Property / cites work: Tests for Hurst effect / rank @@
+Normal rank
@@ Property / cites work @@
+Modeling volatility persistence of speculative returns: a new approach
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
+Normal rank
@@ Property / cites work @@
+Varieties of long memory models
@@ Property / cites work: Varieties of long memory models / rank @@
+Normal rank
@@ Property / cites work @@
+ON GENERALIZED FRACTIONAL PROCESSES
@@ Property / cites work: ON GENERALIZED FRACTIONAL PROCESSES / rank @@
+Normal rank
@@ Property / cites work @@
+Q5612941
@@ Property / cites work: Q5612941 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4074268
@@ Property / cites work: Q4074268 / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for non-instantaneous filters of a stationary Gaussian process
+Normal rank
@@ Property / cites work @@
+Q5843944
@@ Property / cites work: Q5843944 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5597302
@@ Property / cites work: Q5597302 / rank @@
+Normal rank
@@ Property / cites work @@
+Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
+Normal rank
@@ Property / cites work @@
+Log-periodogram regression of time series with long range dependence
+Normal rank
@@ Property / cites work @@
+Q5688319
@@ Property / cites work: Q5688319 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonlinear time series with long memory: A model for stochastic volatility
+Normal rank
@@ Property / cites work @@
+Q3290160
@@ Property / cites work: Q3290160 / rank @@
+Normal rank
@@ Property / cites work @@
+Non-central limit theorems for non-linear functionals of \(k\) Gaussian fields
+Normal rank
@@ Property / cites work @@
+Weak convergence to fractional brownian motion and to the rosenblatt process
+Normal rank
@@ Property / cites work @@
+Q5445942
@@ Property / cites work: Q5445942 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4107030
@@ Property / cites work: Q4107030 / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0304-4076(00)00079-8
+Normal rank
@@ Property / OpenAlex ID @@
+W2010030142
@@ Property / OpenAlex ID: W2010030142 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5932777