Long memory continuous time models

DOI10.1016/0304-4076(95)01735-6zbMath0856.62104OpenAlexW2128913931MaRDI QIDQ1922361

Eric Renault, Fabienne Comte

Publication date: 24 February 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01735-6

zbMATH Keywords

aggregationfractional Brownian motionasset pricingstochastic differential equationsfractional integrationARMA processesARFIMA modelscontinuous-time moving average fractional processnew family of long memory models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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