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~subject:"Continuous-time model"
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Continuous-time model
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continuous-time model
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Econometric modelling in finance and risk management: An overview
Gao, Jiti
;
McAleer, Michael
;
Allen, Dave
-
Volkswirtschaftliche Fakultät, …
-
2006
volatility, modeling time series and
continuous-time
models with long-range dependence, estimation and specification testing of …
Persistent link: https://www.econbiz.de/10005786907
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2
Econometric estimation in long-range dependent volatility models: Theory and practice
Casas, Isabel
;
Gao, Jiti
-
Volkswirtschaftliche Fakultät, …
-
2006
intermediate-range dependence or short-range dependence. These behaviors may be fitted to a
continuous-time
fractional stochastic … model. The estimation procedure proposed in this paper is based on a
continuous-time
version of the Gauss–Whittle objective …
Persistent link: https://www.econbiz.de/10005621886
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