Nonlinear time series with long memory: A model for stochastic volatility

DOI10.1016/S0378-3758(97)00149-3zbMath0937.62109OpenAlexW2063261731MaRDI QIDQ1299552

Peter M. Robinson, Paolo Zaffaroni

Publication date: 13 June 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00149-3

zbMATH Keywords

nonlinear modelstochastic volatilitydependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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