Minding Impacting Events in a Model of Stochastic Variance

We introduce a generalization of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a clustering profile. Specifically, inspired by th...

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Detalles Bibliográficos
Autores principales: Duarte Queirós, Sílvio M., Curado, Evaldo M. F., Nobre, Fernando D.
Formato: Texto
Lenguaje:English
Publicado: Public Library of Science 2011
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3069044/
https://www.ncbi.nlm.nih.gov/pubmed/21483864
http://dx.doi.org/10.1371/journal.pone.0018149

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC3069044/
https://www.ncbi.nlm.nih.gov/pubmed/21483864
http://dx.doi.org/10.1371/journal.pone.0018149

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