Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions

DOI10.1016/S0378-4371(01)00390-9zbMath0980.60070WikidataQ57194535 ScholiaQ57194535MaRDI QIDQ5947840

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Publication date: 23 October 2001

Published in: Physica A (Search for Journal in Brave)

zbMATH Keywords

short-range correlationsautoregressive processesinitial truncated Levy form distribution

Mathematics Subject Classification ID

Stochastic processes (60G99)

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Cites Work

• Fractional integration analysis of long-run behavior for US macroeconomic time series
• Generalized autoregressive conditional heteroscedasticity
• Varieties of long memory models
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Long-Term Memory in Stock Market Prices
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
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