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- W4207014334 abstract "This paper presents a novel approach to model continuous time processes that capture two countervailing features of many financial time series: persistency and long term stationarity. The processes introduced by our models exhibit persistent behaviors observed typically in non-stationary time series, but they remain stationary instead of tending towards explosive paths. We provide a relevant statistical theory and its implications on inference and forecasting, presenting both simulation evidence and empirical backing for the existence of, as well as the characteristic behavior for, such a series in real financial time series data." @default.
- W4207014334 created "2022-01-26" @default.
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- W4207014334 date "2022-04-01" @default.
- W4207014334 modified "2023-10-16" @default.
- W4207014334 title "Modelling persistent stationary processes in continuous time" @default.
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- W4207014334 doi "https://doi.org/10.1016/j.econmod.2022.105776" @default.
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