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%T Optimal approximations of power-laws with exponentials: application to volatility models with long memory %A Challet, Damien %A Bochud, Thierry %J Quantitative Finance %N 6 %P 585-589 %V 7 %D 2007 %K Stochastic Volatility; Time Series Analysis; Volatility Modelling; Exponential moving averages %= 2011-03-15T11:05:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-221032 %X 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. %C GBR %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info