ARCH model and fractional Brownian motion
Author:
Funder
Project ECOS-CONICYT
REDES
MATHAMSUD
FONDECYT
MEC
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference8 articles.
1. Generalized autoregressive conditional heteroskedasticity;Bollerslev;J. Econometrics,1986
2. Bollerslev, T., 2008. Glossary to ARCH (GARCH). CREATES Research Paper 2008-49.
3. Estimating the ARCH parameters by soving linear equations;Bose;J. Time Series Anal.,2003
4. Autoregressive conditional heteroskedasticity with estimates of the variance of the U.K. inflation;Engle;Econometrica,1982
5. Garch Models, Structure, Statistical Inference and Financial Applications;Francq,2010
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2. The existence and Hyers-Ulam stability of solution for almost periodical fractional stochastic differential equation with fBm;Stochastic Analysis and Applications;2020-10-06
3. On the ARCH model with stationary liquidity;Metrika;2020-06-24
4. Note on AR(1)-characterisation of stationary processes and model fitting;Modern Stochastics: Theory and Applications;2019
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