Longmemory models for volatility and high frequencial data

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Longmemory models for volatility and high frequencial data
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Long memory models for volatility and high frequency financial data econometrics

书名：Long memory models for volatility and high frequency financial data econometrics
作者：Dmitri Koulikov
时间：2004
页数：116
目录：
Preface
Summary
Dask resume
Chapter 1 Modeling sequences of long memory non-negative covariance stationary random variables
Chapter 2 Long memory ARCH(1) models: specification and quasi–maximum likelihood estimation
Chapter 3 Nonstationary models for volatility of speculative returns:with application to foreign exchange data
Chapter 4 Conditional heteroscedasticity model for discrete high-frequency price changes: with application to IBM trades data

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关键词：frequencial Longmemory Volatility models memory models Data Volatility Longmemory frequencial