Financial Markets with Memory I: Dynamic Models
By V. Anh, A. Inoue. 2005
73 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/7d370e3dc5f961f4e24068205113670cfc52ace0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
In Finance
Citations in the corpus
- A jump telegraph model for option pricing (2004, methodology): “In this case the historical volatility is given by fðtÞ ¼ 2 ffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffiffi q2 þ pð2qþ pÞ ðtÞ q , with 2 ¼ pþ q (see examples 4.3 and 4.5 in Anh and Inoue (2005)).”