A convolution-based autoregressive process

DOI10.1007/978-3-642-35407-6_1MaRDI QIDQ2849521zbMATH OpenOpenAlexFDO

Authors Umberto Cherubini, Fabio Gobbi

Publication date 20 September 2013

Published in Copulae in Mathematical and Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-35407-6_1

zbMATH Keywords

autoregressive processesfinancial market indexesstate-dependent autocorrelation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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