Nonlinear time series with long memory A model for stochastic volatility

Maximum likelihood estimation of stochastic volatility models

Sandmann, G.
Koopman, S.
London School of Economics (United Kingdom). Financial Markets Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(LSE-FMG-DP--248) / BLDSC - B...

Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Times Series of Daily Realized Volatility. Working Paper

Eric Hillebrand
Marcelo
C. Medeiros

January 2008

ABSTRACT. We study the simultaneous occurrence of long memory and nonlinear effects such as struc-tu...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Sola, M
Psaradakis, Z.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

Available from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/394) / BLDSC - Briti...

Nonlinear time series with long memory A model for stochastic volatility

Robinson, P.M.
Zaffaroni, P.
London School of Economics (United Kingdom). Financial Markets Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(LSE-FMG-DP--253) / BLDSC - B...

Nonlinearities in stochastic volatility models

Tsiotas, G.K.

January 2002

Available from British Library Document Supply Centre-DSC:DXN051943 / BLDSC - British Library Docume...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Nonlinear time series with long memory : a model for stochastic volatility

Robinson, Peter
Zaffaroni, Paolo

January 1997

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. I...

Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility

Paolo Zaffaroni
Peter M. Robinson

We introduce a nonlinear model of stochastic volatility within the class of product type models. It ...

Nonlinear long memory models, with applications in finance

Zaffaroni, P.

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN023682 / BLDSC - British Library D...

Modelling and analysis of nonlinear time series

Chen, S.
Billings, S
Sheffield Univ. (United Kingdom). Dept. of Control Engineering

January 1989

Research report no. 355SIGLEAvailable from British Library Document Supply Centre- DSC:6015.42F(N--9...

Modelling of nonlinear long memory

Grublytė, Ieva

October 2017

The thesis introduces new nonlinear models with long memory which can be used for modelling of ﬁnanc...

Modelling nonlinearity and long memory in time series

Robinson, Peter M.
Zaffaroni, Paolo

January 1997

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions...

Forecasting accuracy of nonlinear time series models

Pemberton, J.
Salford Univ. (United Kingdom). Dept. of Mathematics and Computer Science

January 1989

SIGLEAvailable from British Library Document Supply Centre-DSC:98/02265 / BLDSC - British Library Do...

When is a time series I(0)? Evaluating the memory properties of nonlinear dynamic models (revised version)

Davidson, J.
Cardiff Business School (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9175(00/041) / BLDSC - British L...

Seasonal and cyclical long-memory in time series

Arteche, J.M.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN025779 / BLDSC - British Library D...

Maximum likelihood estimation of stochastic volatility models

Sandmann, G.
Koopman, S.
London School of Economics (United Kingdom). Financial Markets Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(LSE-FMG-DP--248) / BLDSC - B...

Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Times Series of Daily Realized Volatility. Working Paper

Eric Hillebrand
Marcelo
C. Medeiros

January 2008

ABSTRACT. We study the simultaneous occurrence of long memory and nonlinear effects such as struc-tu...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Sola, M
Psaradakis, Z.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

Available from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/394) / BLDSC - Briti...

Nonlinear time series with long memory A model for stochastic volatility

Robinson, P.M.
Zaffaroni, P.
London School of Economics (United Kingdom). Financial Markets Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(LSE-FMG-DP--253) / BLDSC - B...

Nonlinearities in stochastic volatility models

Tsiotas, G.K.

January 2002

Available from British Library Document Supply Centre-DSC:DXN051943 / BLDSC - British Library Docume...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Nonlinear time series with long memory : a model for stochastic volatility

Robinson, Peter
Zaffaroni, Paolo

January 1997

We introduce a nonlinear model of stochastic volatility within the class of ?product type? models. I...

Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility

Paolo Zaffaroni
Peter M. Robinson

We introduce a nonlinear model of stochastic volatility within the class of product type models. It ...

Nonlinear long memory models, with applications in finance

Zaffaroni, P.

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN023682 / BLDSC - British Library D...

Modelling and analysis of nonlinear time series

Chen, S.
Billings, S
Sheffield Univ. (United Kingdom). Dept. of Control Engineering

January 1989

Research report no. 355SIGLEAvailable from British Library Document Supply Centre- DSC:6015.42F(N--9...

Modelling of nonlinear long memory

Grublytė, Ieva

October 2017

The thesis introduces new nonlinear models with long memory which can be used for modelling of ﬁnanc...

Modelling nonlinearity and long memory in time series

Robinson, Peter M.
Zaffaroni, Paolo

January 1997

We discuss models that impart a form of long memory in raw time series xt or instantaneous functions...

Forecasting accuracy of nonlinear time series models

Pemberton, J.
Salford Univ. (United Kingdom). Dept. of Mathematics and Computer Science

January 1989

SIGLEAvailable from British Library Document Supply Centre-DSC:98/02265 / BLDSC - British Library Do...

When is a time series I(0)? Evaluating the memory properties of nonlinear dynamic models (revised version)

Davidson, J.
Cardiff Business School (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9175(00/041) / BLDSC - British L...

Seasonal and cyclical long-memory in time series

Arteche, J.M.

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN025779 / BLDSC - British Library D...

Maximum likelihood estimation of stochastic volatility models

Sandmann, G.
Koopman, S.
London School of Economics (United Kingdom). Financial Markets Group

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:5300.405(LSE-FMG-DP--248) / BLDSC - B...

Asymmetries, Breaks, and Long-Range Dependence: An Estimation Framework for Times Series of Daily Realized Volatility. Working Paper

Eric Hillebrand
Marcelo
C. Medeiros

January 2008

ABSTRACT. We study the simultaneous occurrence of long memory and nonlinear effects such as struc-tu...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Sola, M
Psaradakis, Z.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

Available from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/394) / BLDSC - Briti...

Nonlinear time series with long memory A model for stochastic volatility

Abstract

Extracted data

Nonlinear time series with long memory A model for stochastic volatility

Abstract

Extracted data

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