Modeling of long-range memory processes with inverse cubic distributions by the nonlinear stochastic differential equations
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Cites work
- An Itô formula for a family of stochastic integrals and related Wong-Zakai theorems
- Cross-correlations between volume change and price change
- Detecting long-range correlations with detrended fluctuation analysis
- Empirical distributions of stock returns: between the stretched exponential and the power law?
- Extreme Financial Risks
- Fractal‐Based Point Processes
- Handbook of stochastic methods for physics, chemistry and the natural sciences.
- Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type
- Mathematical methods for financial markets.
- On 1/f noise
- On the Convergence of Ordinary Integrals to Stochastic Integrals
- On the relation between ordinary and stochastic differential equations
- Possible generalization of Boltzmann-Gibbs statistics.
- Riemann-Stieltjes approximations of stochastic integrals
- Tail index estimation in the presence of long-memory dynamics
- Using a bootstrap method to choose the sample fraction in tail index estimation
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