Optimal approximations of power-laws with exponentials: application to volatility models with long memory

Challet, Damien; Bochud, Thierry

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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