Estimation and pricing under long-memory stochastic volatility

Author:

Chronopoulou Alexandra,Viens Frederi G.

Publisher

Springer Science and Business Media LLC

Subject

General Economics, Econometrics and Finance,Finance

Reference42 articles.

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3. Batalova N., Maroussov V., Viens F.: Selection of an optimal portfolio with stochastic volatility and discrete observations. Trans Wessex Inst Model Simul 43, 317–380 (2006)

4. Bauwens L., Laurent S., Rombouts J.K.V.: Multivariate GARCH models: a survey. J Appl Economet 21, 79–109 (2006)

5. Beran J.: Statistics for Long-Memory Processes. Chapman and Hall, New York (1994)

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