Long memory continuous time models (Q1922361)
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scientific article; zbMATH DE number 922047
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Long memory continuous time models |
scientific article; zbMATH DE number 922047 |
Statements
Long memory continuous time models (English)
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24 February 1997
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fractional Brownian motion
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asset pricing
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ARFIMA models
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new family of long memory models
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continuous-time moving average fractional process
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fractional integration
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ARMA processes
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aggregation
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stochastic differential equations
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