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

Challet, Damien; Bochud, Thierry

[journal article]

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

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Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Basic Research, General Concepts and History of Economics

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