Nonlinear GARCH model and 1/f noise
作者： A. Kononovicius , J. Ruseckas
DOI: 10.1016/J.PHYSA.2015.02.040
关键词:
摘要: … We show that linear GARCH(1,1) process has power law distribution, but its power spectral density is Brownian noise-like. However, the nonlinear modifications exhibit both power law …
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sci-hub.se 参考文章(61)
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