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Limit theorems for long memory stochastic volatility models with infinite var...
Advances in Applied Probability, 44(4), 1113-1141, 2012 -
Alternative Modeling for Long Term Risk
URL des Documents de travail : http://ces.univ-paris1.fr/cesdp/cesdp2012.html -
Estimation and Testing for Fractional Cointegration
Estimation of bivariate fractionally cointegrated models usually operates in two steps: the first step is to estimate the long run coefficient (\beta) whereas the... -
SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence
This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors... -
A Smooth Transition Long-Memory Model
This paper proposes a new fractional model with a time-varying long-memory parameter. The latter evolves nonlinearly according to a transition variable through a... -
Estimation of fractional integration under temporal aggregation
International audience -
Aggregation and long memory: recent developments
It is well-known that the aggregated time series might have very different properties from those of the individual series, in particular, long memory. At the present... -
Contemporaneous aggregation of triangular array of random-coefficient AR(1) p...
We discuss contemporaneous aggregation of independent copies of a triangular array of random-coefficient AR(1) processes with i.i.d. innovations belonging to the... -
Learning generates Long Memory
ESSEC Working paper. Document de recherche de l'ESSEC / ISSN : 1291-9616 WP1113 Updated October 2013 -
Pricing the Weather Derivatives in the Presence of Long Memory in Temperatures
Weather derivatives are financial contracts for which the underlying is not a traded asset. Therefore, they cannot be priced by the traditional financial theory based... -
Seasonal fractional ARIMA model with infinite variance innovation and applica...
In this work, we thoroughly study the seasonal fractionally integrated ARIMA time series with stable innovations. In the first chapter, we make an overview of the... -
Alternative modeling for long term risk
International audience
