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|
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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|
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