dc.contributor.author | Challet, Damien | de |
dc.contributor.author | Bochud, Thierry | de |
dc.date.accessioned | 2011-02-23T03:43:00Z | de |
dc.date.accessioned | 2012-08-29T23:07:03Z | |
dc.date.available | 2012-08-29T23:07:03Z | |
dc.date.issued | 2007 | de |
dc.identifier.uri | http://www.ssoar.info/ssoar/handle/document/22103 | |
dc.description.abstract | We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models. | en |
dc.language | en | de |
dc.subject.ddc | Wirtschaft | de |
dc.subject.ddc | Economics | en |
dc.subject.other | Stochastic Volatility; Time Series Analysis; Volatility Modelling; Exponential moving averages | |
dc.title | Optimal approximations of power-laws with exponentials: application to volatility models with long memory | en |
dc.description.review | begutachtet (peer reviewed) | de |
dc.description.review | peer reviewed | en |
dc.source.journal | Quantitative Finance | de |
dc.source.volume | 7 | de |
dc.publisher.country | GBR | |
dc.source.issue | 6 | de |
dc.subject.classoz | Basic Research, General Concepts and History of Economics | en |
dc.subject.classoz | Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften | de |
dc.identifier.urn | urn:nbn:de:0168-ssoar-221032 | de |
dc.date.modified | 2011-03-15T11:05:00Z | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | de |
dc.rights.licence | PEER Licence Agreement (applicable only to documents from PEER project) | en |
ssoar.gesis.collection | SOLIS;ADIS | de |
ssoar.contributor.institution | http://www.peerproject.eu/ | de |
internal.status | 1 | de |
dc.type.stock | article | de |
dc.type.document | journal article | en |
dc.type.document | Zeitschriftenartikel | de |
dc.rights.copyright | f | de |
dc.source.pageinfo | 585-589 | |
internal.identifier.classoz | 10901 | |
internal.identifier.document | 32 | |
internal.identifier.ddc | 330 | |
dc.identifier.doi | https://doi.org/10.1080/14697680701278291 | de |
dc.subject.methods | development of methods | en |
dc.subject.methods | Methodenentwicklung | de |
dc.description.pubstatus | Postprint | en |
dc.description.pubstatus | Postprint | de |
internal.identifier.licence | 7 | |
internal.identifier.methods | 11 | |
internal.identifier.pubstatus | 2 | |
internal.identifier.review | 1 | |
internal.check.abstractlanguageharmonizer | CERTAIN | |
internal.check.languageharmonizer | CERTAIN_RETAINED | |