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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...
| Autores principales: | , , |
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| Formato: | Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2011
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| Materias: | |
| 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 |