In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model’s parameters and ats 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.
Microeconomic modeling of financial time series with long term memory / Cerqueti, R.; Rotundo, G. - STAMPA. - (2003), pp. 191-198. (Intervento presentato al convegno Proceedings of IEEE International Conference on Computational Intelligence for Financial Engineering tenutosi a Hong Kong, China).
Microeconomic modeling of financial time series with long term memory
R. CERQUETI
Investigation
;ROTUNDO GMethodology
2003
Abstract
In this paper we fix a microeconomic model of exchange rates and we give the explicit relation between model’s parameters and ats 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.File allegati a questo prodotto
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