Queiros, Silvio M. Duarte; Curado, Evaldo M. F.; Nobre, … - arXiv.org - 2011
We introduce a generalisation of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a clustering profile. Specifically, inspired...