Concepedia

Nonlinearity and temporal dependence

Xiaohong Chen, Lars Peter Hansen, Marine Carrasco

Journal of Econometrics · 2009 · 98 citations · 34 references

DOI

Concepts

References

34

Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

, , +9

Martingales and arbitrage in multiperiod securities markets

J. Michael Harrison, David M. Kreps · Journal of Economic Theory · 1979 · 3.7K citations

, , +12

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

, , +16

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text

, , +17

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

, , +17