The memory of stochastic volatility models.
A valid asymptotic expansion for the covariance of functions of multivariate normal vectors is applied to approximate autocovariances of time series generated by nonlinear transformation of Gaussian latent variates, and nonlinear functions of these, with special reference to long memory stochastic v...
| Publicado en: | Journal of Econometrics Vol. 101; no. 2; pp. 195 - 219 |
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| Autor principal: | |
| Formato: | Artículo |
| Publicado: |
Elsevier Science
April 2001
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| Acceso en línea: | Ver este registro en EBSCOhost |