Minding impacting events in a model of stochastic variance.
We introduce a generalization of the well-known ARCH process, widely used for generating uncorrelated stochastic time series with long-term non-Gaussian distributions and long-lasting correlations in the (instantaneous) standard deviation exhibiting a clustering profile. Specifically, inspired by th...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2011-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC3069044?pdf=render |