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A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect.
Ana Pérez
Esther Ruiz
Helena Veiga
Published in:
Comput. Stat. Data Anal. (2009)
Keyphrases
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prior knowledge
complex systems
experimental data
statistical models
power consumption
stochastic models
explanatory power
decision trees
artificial neural networks
monte carlo
stochastic processes
stochastic process
limited memory