ARCH model and fractional Brownian motion

DOI10.1016/j.spl.2017.10.003zbMath1463.62255OpenAlexW2767237791MaRDI QIDQ1698250

Soledad Torres, Ciprian A. Tudor, Natalia Bahamonde

Publication date: 15 February 2018

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.10.003

zbMATH Keywords

fractional Brownian motionstationary processvolatilityARCH model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10)

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Cites Work

• Long-term memory and applying the multi-factor ARFIMA models in financial markets
• Generalized autoregressive conditional heteroscedasticity
• ESTIMATING THE ARCH PARAMETERS BY SOLVING LINEAR EQUATIONS
• Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
• EGARCH Model with Weighted Liquidity