Optimal approximations of power laws with exponentials: application to volatility models with long memory
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Publication:5440097
DOI10.1080/14697680701278291zbMath1151.91484OpenAlexW2012920284MaRDI QIDQ5440097
Thierry Bochud, Damien Challet
Publication date: 31 January 2008
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22103
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Cites Work
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Resolvability of the Parameters of Multiexponentials and Other Sum Models
- MEASURING SHOCK IN FINANCIAL MARKETS
- Forecasting multifractal volatility
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