This paper provides a review of some recent theoretical results for time series models with
GARCH errors, and is directed towards practitioners. Starting with the simple ARCH model …

Praise for the Fourth Edition" The book follows faithfully the style of the original edition. The
approach is heavily motivated by real-world time series, and by developing a complete …

A leading pioneer in the field offers practical applications of this innovative science. Peters
describes complex concepts in an easy-to-follow manner for the non-mathematician. He …

Statistical Methods for Long Term Memory Processes covers the diverse statistical methods
and applications for data with long-range dependence. Presenting material that previously …

This paper provides a survey and review of the major econometric work on long memory
processes, fractional integration, and their applications in economics and finance. Some of …

The latest developments in chaos theory-from an industry expert Chaos and Order in the
Capital Markets was the first book to introduce and popularize chaos as it applies to finance …

We consider estimation of the long term average power output from a wind turbine generator
at a site for which few data on wind speeds are available. Long term records of wind speeds …

We analyze 20 large sets of actual variable-bit-rate (VBR) video data, generated by a variety
of different codecs and representing a wide range of different scenes. Performing extensive …

The modeling of stochastic dependence is fundamental for understanding random systems
evolving in time. When measured through linear correlation, many of these systems exhibit a …

A generalized notion of cointegration, called fractional cointegration, is introduced to
examine the long-run purchasing power parity (PPP) hypothesis. By allowing deviations …