Pages that link to "Item:Q1922362"
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The following pages link to Modeling and pricing long memory in stock market volatility (Q1922362):
Displaying 50 items.
- A semiparametric two-step estimator in a multivariate long memory model (Q145472) (← links)
- Misspecification tests for periodic long memory GARCH models (Q257484) (← links)
- Fractionally integrated time varying GARCH model (Q257572) (← links)
- A wavelet Whittle estimator of generalized long-memory stochastic volatility (Q261551) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models (Q274920) (← links)
- A multiple indicators model for volatility using intra-daily data (Q292000) (← links)
- Breaks and persistency: macroeconomic causes of stock market volatility (Q292011) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- On calibration of stochastic and fractional stochastic volatility models (Q323465) (← links)
- Two-state volatility transition pricing and hedging of TXO options (Q429529) (← links)
- Asymptotic theory for fractionally integrated asymmetric power ARCH models (Q452996) (← links)
- A closed-form solution for options with ambiguity about stochastic volatility (Q488211) (← links)
- Semi- and nonparametric ARCH processes (Q609736) (← links)
- Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
- FARIMA with stable innovations model of Great Salt Lake elevation time series (Q612642) (← links)
- Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
- Estimation of fractional integration under temporal aggregation (Q737901) (← links)
- Measuring correlations of integrated but not cointegrated variables: a semiparametric approach (Q738027) (← links)
- Optimal bias correction of the log-periodogram estimator of the fractional parameter: a jackknife approach (Q826961) (← links)
- Long-range dependence in the volatility of returns in Uruguayan sovereign debt indices (Q828017) (← links)
- A modified GARCH model with spells of shocks (Q853870) (← links)
- Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance (Q888317) (← links)
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory (Q963108) (← links)
- Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection (Q997294) (← links)
- Generalised long-memory GARCH models for intra-daily volatility (Q1020691) (← links)
- Memory properties and aggregation of spatial autoregressive models (Q1021992) (← links)
- Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH (Q1023615) (← links)
- Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491) (← links)
- Volume, volatility, and leverage: A dynamic analysis (Q1126500) (← links)
- Long-term equity anticipation securities and stock market volatility dynamics (Q1302760) (← links)
- Estimation of stochastic volatility models with diagnostics (Q1372927) (← links)
- The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
- A simple long-memory equilibrium interest rate model (Q1391624) (← links)
- Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
- Modeling long memory in stock market volatility (Q1588307) (← links)
- Forecasting exchange rate volatility. (Q1603860) (← links)
- Seasonal FIEGARCH processes (Q1615155) (← links)
- Revisiting the multifractality in stock returns and its modeling implications (Q1620210) (← links)
- On the approximate discrete KLT of fractional Brownian motion and applications (Q1622267) (← links)
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean'' (Q1641938) (← links)
- Long memory and asymmetry for matrix-exponential dynamic correlation processes (Q1695662) (← links)
- Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
- A generalized ARFIMA model with smooth transition fractional integration parameter (Q1695690) (← links)
- Option pricing with fractional stochastic volatility and discontinuous payoff function of polynomial growth (Q1739388) (← links)
- Bridge representation and modal-path approximation (Q1756961) (← links)
- Long memory versus structural breaks: an overview (Q1762969) (← links)
- ARCH-type bilinear models with double long memory. (Q1766035) (← links)
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes (Q1782687) (← links)
- Indirect estimation of ARFIMA and VARFIMA models (Q1808561) (← links)
