A nonlinear model for long-memory conditional heteroscedasticity (Q327174)
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scientific article
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| English | A nonlinear model for long-memory conditional heteroscedasticity |
scientific article |
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A nonlinear model for long-memory conditional heteroscedasticity (English)
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19 October 2016
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ARCH model
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leverage
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long memory
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Donsker's invariance principle
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fractional Brownian motion
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0.9153613448143004
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0.8836427927017212
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0.816373348236084
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0.8161249160766602
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