Microeconomic modeling of financial time series with long term memory

Roy Cerqueti

doi:10.1109/cifer.2003.1196260

Microeconomic modeling of financial time series with long term memory

Roy Cerqueti

Research output: Contribution to conference › Paper

4 Citations (Scopus)

Abstract

© 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.

Original language	English
DOIs	https://doi.org/10.1109/cifer.2003.1196260
Publication status	Published - 20 Mar 2003
Externally published	Yes
Event	2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings - Duration: 20 Mar 2003 → …

Conference

Conference	2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings
Period	20/03/03 → …

Keywords

Long memory property
Microeconomic
Model

Access to Document

10.1109/cifer.2003.1196260Licence: CC BY 4.0

Cite this

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title = "Microeconomic modeling of financial time series with long term memory",

abstract = "{\textcopyright} 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.",

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AB - © 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.

KW - Long memory property

KW - Microeconomic

KW - Model

U2 - 10.1109/cifer.2003.1196260

DO - 10.1109/cifer.2003.1196260

M3 - Paper

T2 - 2003 IEEE International Conference on Computational Intelligence for Financial Engineering. Proceedings

Y2 - 20 March 2003

ER -

Microeconomic modeling of financial time series with long term memory

Abstract

Conference

Keywords

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