The memory of stochastic volatility models

DOI10.1016/S0304-4076(00)00079-8zbMath0966.62079OpenAlexW2010030142MaRDI QIDQ5932777

Peter M. Robinson

Publication date: 17 August 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(00)00079-8

zbMATH Keywords

stochastic volatilitylong memorynonlinear functions of Gaussian processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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