The memory of stochastic volatility models

Robinson, Peter M. (2001) The memory of stochastic volatility models. [Working paper]
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Item Type Working paper
Keywords Stochastic volatility; long memory; nonlinear functions of Gaussian processes
Departments Economics
STICERD
Date Deposited 27 Apr 2007
URI https://researchonline.lse.ac.uk/id/eprint/2298

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