Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility (Q2145810)
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scientific article; zbMATH DE number 7544408
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| English | Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility |
scientific article; zbMATH DE number 7544408 |
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Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility (English)
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20 June 2022
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bivariate pure-jump model
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long memory
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slow convergence
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log Gaussian Cox process
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0.9084958
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0.8679653
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0.8597771
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0.8577139
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0.85567415
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0.8532299
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0.8519381
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