Financial Markets with Memory I: Dynamic Models
From MaRDI portal
Publication:4678735
DOI10.1081/SAP-200050096zbMath1108.91035MaRDI QIDQ4678735
Publication date: 23 May 2005
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
60G20: Generalized stochastic processes
Related Items
Wavelet-Based Estimation of Anisotropic Spatiotemporal Long-Range Dependence, A jump telegraph model for option pricing, Econometric estimation in long-range dependent volatility models: theory and practice, Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models, Telegraph processes with random jumps and complete market models, Long memory in a linear stochastic Volterra differential equation, Binary market models with memory, Combining estimating functions for volatility, Fractional Cox-Ingersoll-Ross process with non-zero ``mean, Bubbles and crashes in a Black-Scholes model with delay, Jump telegraph processes and financial markets with memory, Linear filtering of systems with memory and application to finance, Risky Asset Models with Tempered Stable Fractal Activity Time, A Vasicek-Type Short Rate Model With Memory Effect