Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions

DOI10.1016/S0378-4371(01)00390-9zbMath0980.60070WikidataQ57194535 ScholiaQ57194535MaRDI QIDQ5947840

No author found.

Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

short-range correlationsautoregressive processesinitial truncated Levy form distribution

Mathematics Subject Classification ID

Stochastic processes (60G99)

Related Items (6)

Pricing foreign equity option with stochastic volatility ⋮ A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES ⋮ The origin of fat-tailed distributions in financial time series ⋮ Economic fluctuations and statistical physics: the puzzle of large fluctuations ⋮ Student'stVector Random Fields with Power-Law and Log-Law Decaying Direct and Cross Covariances ⋮ Statistical physics and economic fluctuations: do outliers exist?

Cites Work

• Unnamed Item
• Unnamed Item
• Fractional integration analysis of long-run behavior for US macroeconomic time series
• Generalized autoregressive conditional heteroscedasticity
• Varieties of long memory models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Long-Term Memory in Stock Market Prices
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight

This page was built for publication: Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions