The memory of stochastic volatility models
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Cited in
(34)- Covariance stationary GARCH-family models with long memory property
- Gaussian inference on certain long-range dependent volatility models
- ARCH-type bilinear models with double long memory.
- Dynamic hedging based on fractional order stochastic model with memory effect
- \(L_1\)-estimation for the location parameters in stochastic volatility models
- On location estimation for LARCH processes
- Aggregation and memory of models of changing volatility
- Predicting volatility: getting the most out of return data sampled at different frequencies
- Long memory in integrated and realized variance
- Projective Stochastic Equations and Nonlinear Long Memory
- On the Transmission of Memory in Garch‐in‐Mean Models
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- Long-memory in high-frequency exchange rate volatility under temporal aggregation
- A Class of Antipersistent Processes
- Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory
- FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS
- TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY?
- Analysis of the correlation structure of square time series
- Financial Markets with Memory I: Dynamic Models
- Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
- Modelling long-range-dependent Gaussian processes with application in continuous-time financial models
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- Estimation of the volatility persistence in a discretely observed diffusion model
- Testing for bubbles and change-points
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