Aug 1, 2009 · This model is able to explain the high persistence often observed empirically in the sample autocorrelation function (acf) of squared returns, ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Ana Péreza, Esther Ruizb,∗, Helena ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Author & abstract; Download; 12 ...
Publication: A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect.
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. August 2009; Computational Statistics ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Ana Pérez, Esther Ruiz and Helena ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Ana Perez (Perez, A.); Esther Ruiz ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect, 2009, with Pérez, A. and Veiga, H ...
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect. Pérez, A. Ruiz, E. Veiga, H.
Veiga, A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect, Computational Statistics and ...