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  • We propose an explicit recursive method to approximate a power-law with a finite sum of weighted exponentials. Applications to moving averages with long memory are discussed in relationship with stochastic volatility models. (xsd:string)
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?:dateModified
  • 2007 (xsd:gyear)
?:datePublished
  • 2007 (xsd:gyear)
?:doi
  • 10.1080/14697680701278291 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 6 (xsd:string)
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  • Optimal approximations of power-laws with exponentials: application to volatility models with long memory (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 7, 2007, 6, 585-589 (xsd:string)
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?:urn
  • urn:nbn:de:0168-ssoar-221032 ()
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  • 7 (xsd:string)