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

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  • Thierry Bochud
  • Damien Challet

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  • Thierry Bochud & Damien Challet, 2007. "Optimal approximations of power laws with exponentials: application to volatility models with long memory," Quantitative Finance, Taylor & Francis Journals, vol. 7(6), pages 585-589.
  • Handle: RePEc:taf:quantf:v:7:y:2007:i:6:p:585-589
    DOI: 10.1080/14697680701278291
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    References listed on IDEAS

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    1. Calvet, Laurent & Fisher, Adlai, 2001. "Forecasting multifractal volatility," Journal of Econometrics, Elsevier, vol. 105(1), pages 27-58, November.
    2. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
    3. Paul Lynch & Gilles Zumbach, 2003. "Market heterogeneities and the causal structure of volatility," Quantitative Finance, Taylor & Francis Journals, vol. 3(4), pages 320-331.
    4. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    5. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    6. 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.
    7. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. Damien Challet & Vincent Ragel, 2023. "Recurrent Neural Networks with more flexible memory: better predictions than rough volatility," Working Papers hal-04165354, HAL.
    2. Léo Parent, 2022. "The EWMA Heston model," Post-Print hal-04431111, HAL.
    3. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Post-Print hal-02567495, HAL.
    4. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2020. "Endogenous Liquidity Crises," Working Papers hal-02567495, HAL.
    5. Antoine Fosset & Jean-Philippe Bouchaud & Michael Benzaquen, 2019. "Endogenous Liquidity Crises," Papers 1912.00359, arXiv.org, revised Feb 2020.

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