Displaying similar documents to “Long memory properties and covariance structure of the EGARCH model”

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2002)

ESAIM: Probability and Statistics

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The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular,...

Probabilistic models of vortex filaments

Franco Flandoli, Ida Minelli (2001)

Czechoslovak Mathematical Journal

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A model of vortex filaments based on stochastic processes is presented. In contrast to previous models based on semimartingales, here processes with fractal properties between 1 / 2 and 1 are used, which include fractional Brownian motion and similar non-Gaussian examples. Stochastic integration for these processes is employed to give a meaning to the kinetic energy.