scientific article; zbMATH DE number 1944322

MaRDI QIDQ4407616zbMATH OpenFDO

Authors Marc Henry, Paolo Zaffaroni

Publication date 15 December 2003

zbMATH Keywords

arbitrageARCHFARIMAnonlinear time seriesself-similaritystochastic volatility

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(30)

• Likelihood inference for a fractionally cointegrated vector autoregressive model
• Gaussian semiparametric estimation of multivariate fractionally integrated processes
• Simultaneous quantile inference for non-stationary long-memory time series
• Asymptotic law of limit distribution for fractional Ornstein-Uhlenbeck process
• Minimum distance estimation for fractional Ornstein-Uhlenbeck type process
• Some long-range dependence processes arising from fluctuations of particle systems
• The absolute Gini is a more reliable measure of inequality for time dependent analyses (compared with the relative Gini)
• Estimating memory parameter in the US inflation rate
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Multifractal detrended fluctuation analysis: practical applications to financial time series
• Multivariate fractionally integrated CARMA processes
• On discriminating between long-range dependence and changes in mean
• Nonparametric cointegration analysis of fractional systems with unknown integration orders
• Local Whittle estimation of fractional integration and some of its variants
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• How complete random permutations affect the dependence structure of stationary sequences with long-range dependence
• Long range dependence in financial markets
• Discriminating between long-range dependence and non-stationarity
• Aggregation, Persistence and Volatility in a Macro Model
• The trace problem for Toeplitz matrices and operators and its impact in probability
• Conditional distributions of processes related to fractional Brownian motion
• Conditional characteristic functions of Molchan-Golosov fractional Lévy processes with application to credit risk
• Fractional processes and their statistical inference: an overview
• Bond portfolio optimization with long-range dependent credits
• Increasing domain infill asymptotics for stochastic differential equations driven by fractional Brownian motion
• Bias correction for the regression-based LM fractional integration test
• Non-negativity conditions for the hyperbolic GARCH model
• Likelihood inference for a nonstationary fractional autoregressive model
• Local polynomial Whittle estimation of perturbed fractional processes
• Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices

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