Optimal approximations of power laws with exponentials: application to volatility models with long memory

被引：21

作者：

Bochud, Thierry ^{[2
]}

Challet, Damien ^{[1
]}

机构：

[1] Univ Oxford, Inst Math, Nomura Ctr Quantitat Finance, Oxford OX1 3LB, England

[2] Nestle Capital Advisers, CH-1800 Vevey, Switzerland

来源：

QUANTITATIVE FINANCE | 2007年 / 7卷 / 06期

关键词：

D O I：

10.1080/14697680701278291

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：585 / 589

页数：5

共 23 条

[1]

[Anonymous], 2001, International Journal of Theoretical and Applied Finance

[2]

[Anonymous], INT J THEOR APPL FIN

[3] Fractionally integrated generalized autoregressive conditional heteroskedasticity [J].

Baillie, RT ;

Bollerslev, T ;

Mikkelsen, HO .

JOURNAL OF ECONOMETRICS, 1996, 74 (01) :3-30

[4]

Bera A.K., 1993, J EC SURVEYS, V7, P305, DOI [10.1111/j.1467-6419.1993.tb00170.x, DOI 10.1111/J.1467-6419.1993.TB00170.X]

[5] ARCH MODELING IN FINANCE - A REVIEW OF THE THEORY AND EMPIRICAL-EVIDENCE [J].

BOLLERSLEV, T ;

CHOU, RY ;

KRONER, KF .

JOURNAL OF ECONOMETRICS, 1992, 52 (1-2) :5-59

[6]

BORLAND L, 2005, MULTI TIMESCALE STAT, DOI UNSP 0507073

[7]

Bouchard J.P., 2000, Theory of Financial Risks: From Statistical Physics to Risk Management

[8] Forecasting multifractal volatility [J].

Calvet, L ;

Fisher, A .

JOURNAL OF ECONOMETRICS, 2001, 105 (01) :27-58

[9] Modeling volatility persistence of speculative returns: A new approach [J].

Ding, ZX ;

Granger, CWJ .

JOURNAL OF ECONOMETRICS, 1996, 73 (01) :185-215

[10] AUTOREGRESSIVE CONDITIONAL HETEROSCEDASTICITY WITH ESTIMATES OF THE VARIANCE OF UNITED-KINGDOM INFLATION [J].

ENGLE, RF .

ECONOMETRICA, 1982, 50 (04) :987-1007

← 1 2 3 →