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Long memory continuous time models

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Author Info
Comte, F.
Renault, E.
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 73 (1996)
Issue (Month): 1 (July)
Pages: 101-149
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Handle: RePEc:eee:econom:v:73:y:1996:i:1:p:101-149

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Web page: http://www.elsevier.com/locate/jeconom

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  3. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
  4. Yue Fang, 2000. "When Should Time be Continuous? Volatility Modeling and Estimation of High-Frequency Data," Econometric Society World Congress 2000 Contributed Papers 0843, Econometric Society. [Downloadable!]
  5. N. N. Leonenko & Emanuele Taufer, 2001. "Asymptotic properties of LSE in multivariate continuous regression with long memory stationary errors," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1-2), pages 54-71. [Downloadable!]
  6. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany. [Downloadable!]
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  7. Tim Bollerslev & Natalia Sizova & George Tauchen, 2009. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," CREATES Research Papers 2009-05, School of Economics and Management, University of Aarhus. [Downloadable!]
  8. Federico Bandi & Benoit Perron, 2003. "Long memory and the relation between implied and realized volatility," Econometrics 0305004, EconWPA. [Downloadable!]
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