Modeling leverage and long memory in volatility in a pure‐jump process-Reference-Cited by-同舟云学术

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Modeling leverage and long memory in volatility in a pure‐jump process

Published:2019-06 Issue:3-4 Volume:2 Page:124-141
ISSN:2470-6981
Container-title:High Frequency
language:en
Short-container-title:High Freq

Author:

Hsieh Meng‐Chen¹,Hurvich Clifford²,Soulier Philippe³

Affiliation:

1. College of Business Administration Department of Information Systems, Analytics, and Supply Chain Management Rider University Lawrenceville New Jersey

2. Department of Technology, Operations and Statistics Leonard N. Stern School of Business New York University New York New York

3. Département de mathématiques et informatique Université Paris Nanterre Nanterre Cedex France

Publisher

Wiley

Subject

General Medicine

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/hf2.10042

Reference18 articles.

1. BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

2. Some limit theorems for Hawkes processes and application to financial statistics

3. Fractionally integrated generalized autoregressive conditional heteroskedasticity

4. Asymmetric COGARCH processes

5. Multi-step forecasting for long-memory processes

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Review of Statistical Approaches for Modeling High-Frequency Trading Data;Sankhya B;2022-04-28

2. Estimation of α, β and portfolio weights in a pure-jump model with long memory in volatility;Stochastic Processes and their Applications;2020-09

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