The memory of stochastic volatility models
نویسندگان
چکیده
منابع مشابه
The memory of stochastic volatility models
A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autocovariances of time series generated by nonlinear transformation of Gaussian latent variates, and nonlinear functions of these, with special reference to long memory stochastic volatility models, serving to identify the roles played by the underlying Gaussian processes and t...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2001
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(00)00079-8