2 papers
math.ST2012
Drift in Transaction-Level Asset Price Models
Wen Cao, Clifford Hurvich, Philippe Soulier
We study the effect of drift in pure-jump transaction-level models for asset prices in continuous time, driven by point processes. The drift is as-sumed to arise from a nonzero mea…
math.ST2007
Long Memory in Nonlinear Processes
Rohit Deo, Meng-Chen Hsieh, Clifford M. Hurvich +1
It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log…