Pages that link to "Item:Q1922362"

The following pages link to Modeling and pricing long memory in stock market volatility (Q1922362):

Displaying 50 items.

• Long strange segments of a stochastic process. (Q1872448) (← links)
• Long memory processes and fractional integration in econometrics (Q1922357) (← links)
• On the estimation and diagnostic checking of the ARFIMA-HYGARCH model (Q1927143) (← links)
• Pricing and hedging long-term options (Q1969824) (← links)
• Order flow in the financial markets from the perspective of the fractional Lévy stable motion (Q2060649) (← links)
• The long memory HEAVY process: modeling and forecasting financial volatility (Q2070693) (← links)
• Estimation methods for stationary Gegenbauer processes (Q2110339) (← links)
• Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers (Q2116339) (← links)
• Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
• Analysis of shares frequency components on daily value-at-risk in emerging and developed markets (Q2163912) (← links)
• Issues in the estimation of mis-specified models of fractionally integrated processes (Q2182145) (← links)
• Dynamic tail inference with log-Laplace volatility (Q2191426) (← links)
• Indirect inference in fractional short-term interest rate diffusions (Q2227436) (← links)
• Correlated squared returns (Q2241899) (← links)
• The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations (Q2255776) (← links)
• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
• Exploring the financial risk of a temperature index: a fractional integrated approach (Q2288969) (← links)
• Fractional Cox-Ingersoll-Ross process with small Hurst indices (Q2326528) (← links)
• Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models (Q2340394) (← links)
• Long-run comovements in East Asian stock market volatility (Q2416241) (← links)
• Temporal aggregation of volatility models (Q2439047) (← links)
• Forecasting a long memory process subject to structural breaks (Q2453079) (← links)
• Nonhomogeneous fractional Poisson processes (Q2482523) (← links)
• Whittle estimation of EGARCH and other exponential volatility models (Q2628845) (← links)
• Nonlinearity and temporal dependence (Q2630203) (← links)
• Simple multivariate conditional covariance dynamics using hyperbolically weighted moving averages (Q2661315) (← links)
• Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility (Q2691676) (← links)
• Estimation of long memory in volatility using wavelets (Q2691712) (← links)
• Conditional asymmetry in power ARCH\((\infty)\) models (Q2697981) (← links)
• MCMC Bayesian Estimation in FIEGARCH Models (Q2828706) (← links)
• Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
• Long Memory in Integrated and Realized Variance (Q2930712) (← links)
• (Q2971501) (← links)
• Cross-correlations between volume change and price change (Q3069234) (← links)
• Stochastic representation and path properties of a fractional Cox–Ingersoll–Ross process (Q3120627) (← links)
• CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY (Q3181946) (← links)
• More on the volatility-trading volume relationship in emerging markets: The Chinese stock market (Q3184496) (← links)
• TESTING FOR NONLINEARITY & MODELING VOLATILITY IN EMERGING CAPITAL MARKETS: THE CASE OF TUNISIA (Q3421822) (← links)
• Long-memory in high-frequency exchange rate volatility under temporal aggregation (Q3502187) (← links)
• Distinguishing short and long memory volatility specifications (Q3548528) (← links)
• LOCAL ESTIMATION OF DYNAMIC COPULA MODELS (Q3564992) (← links)
• Periodic Long-Memory GARCH Models (Q3615077) (← links)
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
• WAVELET ESTIMATORS FOR LONG MEMORY IN STOCK MARKETS (Q3637883) (← links)
• A generalized ARFIMA process with Markov-switching fractional differencing parameter (Q3638584) (← links)
• Cross-border exchanges and volatility forecasting (Q4554462) (← links)
• Market calibration under a long memory stochastic volatility model (Q4585681) (← links)
• A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility (Q4628041) (← links)
• GARCH model selection criteria (Q4647269) (← links)
• Analysis of the correlation structure of square time series (Q4677028) (← links)