The memory of stochastic volatility models
| Year of publication: |
2001-02
|
|---|---|
| Authors: | Robinson, Peter M. |
| Institutions: | London School of Economics (LSE) |
| Subject: | Stochastic volatility | long memory | nonlinear functions of Gaussian processes |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Econometrics; EM/2001/410, EM/01/410 32 pages |
| Classification: | C22 - Time-Series Models |
| Source: |
Persistent link: https://www.econbiz.de/10010746529