most citedThe log-periodic-AR(1)-GARCH(1,1) model for financial crashes

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physics.soc-ph2005

Additive-multiplicative stochastic models of financial mean-reverting processes

C. Anteneodo, R. Riera

We investigate a generalized stochastic model with the property known as mean reversion, that is, the tendency to relax towards a historical reference level. Besides this property,…