Microeconomic modeling of financial time series with long term memory
Cerqueti, R and Rotundo, G (2003). Microeconomic modeling of financial time series with long term memory. 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings. IEEE. https://doi.org/10.1109/cifer.2003.1196260
|Authors||Cerqueti, R and Rotundo, G|
© 2003 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model's parameters and its long memory properties. This avoids long numerical calibration procedures and allows to build the model with the parameters suitable for the required long memory degree.
|Keywords||Microeconomic; Model; Long memory property|
|Digital Object Identifier (DOI)||https://doi.org/10.1109/cifer.2003.1196260|
|Accepted author manuscript|
File Access Level
|20 Mar 2003|
|Publication process dates|
|Submitted||20 Feb 2003|
|Deposited||07 Apr 2020|
|Web address (URL) of conference proceedings||https://ieeexplore.ieee.org/document/1196260|
3views this month
4downloads this month