A nonlinear model for long-memory conditional heteroscedasticity
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Publication:327174
DOI10.1007/s10986-016-9312-5zbMath1350.60032arXiv1502.00095OpenAlexW2963767497MaRDI QIDQ327174
Paul Doukhan, Ieva Grublyt, Donatas Surgailis
Publication date: 19 October 2016
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.00095
Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Functional limit theorems; invariance principles (60F17)
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