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Optimal approximations of power-laws with exponentials: application to volatility models with long memory
[journal article]
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.
Classification
Basic Research, General Concepts and History of Economics
Method
development of methods
Free Keywords
Stochastic Volatility; Time Series Analysis; Volatility Modelling; Exponential moving averages
Document language
English
Publication Year
2007
Page/Pages
p. 585-589
Journal
Quantitative Finance, 7 (2007) 6
DOI
https://doi.org/10.1080/14697680701278291
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)