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- W3122346495 abstract "We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. It allows different degrees of dependence for the ?raw? series and for the ?squared? series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main statistical properties with respect to the common set of stylized facts characterizing financial assets? returns time series dynamics, and apply it to several series of asset returns." @default.
- W3122346495 created "2021-02-01" @default.
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- W3122346495 date "1997-01-01" @default.
- W3122346495 modified "2023-09-28" @default.
- W3122346495 title "Nonlinear Time Series with Long Memory: A Model for Stochastic Volatility - (Now published in 'Journal of Statistical Planning and Inference', 68 (1998), pp.359-371.)" @default.
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