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On discrete stochastic processes with long-lasting time dependence in the variance

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  • S. M.D. Queirós

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  • S. M.D. Queirós, 2008. "On discrete stochastic processes with long-lasting time dependence in the variance," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 66(1), pages 137-148, November.
    • Handle: RePEc:spr:eurphb:v:66:y:2008:i:1:p:137-148
    DOI: 10.1140/epjb/e2008-00387-2
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    References listed on IDEAS

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    1. Mantegna,Rosario N. & Stanley,H. Eugene, 2007. "Introduction to Econophysics," Cambridge Books, Cambridge University Press, number 9780521039871.
    2. Gençay, Ramazan & Dacorogna, Michel & Muller, Ulrich A. & Pictet, Olivier & Olsen, Richard, 2001. "An Introduction to High-Frequency Finance," Elsevier Monographs, Elsevier, edition 1, number 9780122796715.
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