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A delay financial model with stochastic volatility; martingale method

โœ Scribed by Min-Ku Lee; Jeong-Hoon Kim; Joocheol Kim


Book ID
108237256
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
683 KB
Volume
390
Category
Article
ISSN
0378-4371

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We introduce a nonlinear model of stochastic volatility within the class of "product type" models. It allows different degrees of dependence for the "raw" series and for the "squared" series, for instance implying weak dependence in the former and long memory in the latter. We discuss its main stati