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Modeling Sequences of Long Memory Non-Negative Covariance Stationary Random Variables · Study

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PreprintModeling Sequences of Long Memory Non-Negative Covariance Stationary Random Variables

Dmitri Koulikov2002

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Preprintgreen2002

Modeling Sequences of Long Memory Non-Negative Covariance Stationary Random Variables

Dmitri Koulikov

38 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1968Fractional Brownian Motions, Fractional Noises and Applications 1992ARCH modeling in finance 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1981Fractional Differencing 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity

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2004The Information Content of Earnings Announcements in Denmark 2006The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application 2013Predicting Bid–Ask Spreads Using Long‐Memory Autoregressive Conditional Poisson Models

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Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations38

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.331100

openalex_workW1569618047

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