Pages that link to "Item:Q1922363"
From MaRDI portal
The following pages link to Modeling volatility persistence of speculative returns: a new approach (Q1922363):
Displaying 50 items.
- A component model for dynamic correlations (Q128853) (← links)
- MIDAS Regressions: Further Results and New Directions (Q130725) (← links)
- Generating schemes for long memory processes: regimes, aggregation and linearity (Q265026) (← links)
- Neglecting parameter changes in GARCH models (Q265108) (← links)
- Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models (Q269236) (← links)
- A goodness-of-fit test for ARCH(\(\infty\)) models (Q289186) (← links)
- Testing for unit root processes in random coefficient autoregressive models (Q290982) (← links)
- Option valuation with conditional skewness (Q292018) (← links)
- Time series properties of ARCH processes with persistent covariates (Q299219) (← links)
- Out of sample forecasts of quadratic variation (Q299250) (← links)
- Price discovery in the U.S. stock and stock options markets: a portfolio approach (Q375529) (← links)
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models (Q429271) (← links)
- Powerful tests for structural changes in volatility (Q528175) (← links)
- Self-similarity in financial markets: a fractionally integrated approach (Q611788) (← links)
- A long memory model with normal mixture GARCH (Q656952) (← links)
- Estimating long-range dependence in the presence of periodicity: An empirical study (Q699423) (← links)
- Non-negativity conditions for the hyperbolic GARCH model (Q736540) (← links)
- Random coefficient GARCH models (Q814261) (← links)
- Continuous cascade models for asset returns (Q844574) (← links)
- Aggregation of random-coefficient AR(1) process with infinite variance and common innovations (Q847911) (← links)
- A new hyperbolic GARCH model (Q888335) (← links)
- The autocorrelation structure of the Markov-switching asymmetric power GARCH process (Q945788) (← links)
- Testing for bubbles and change-points (Q953776) (← links)
- Asymmetric multivariate normal mixture GARCH (Q961408) (← links)
- The role of communication and imitation in limit order markets (Q977765) (← links)
- Evaluating currency risk in emerging markets (Q996771) (← links)
- A GMM procedure for combining volatility forecasts (Q1023635) (← links)
- Covariance stationary GARCH-family models with long memory property (Q1031773) (← links)
- A comparison of techniques of estimation in long-memory processes. (Q1128623) (← links)
- The second moment and the autocovariance function of the squared errors of the GARCH model (Q1305661) (← links)
- Mean square prediction error for long-memory processes (Q1402928) (← links)
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data (Q1584769) (← links)
- Analytic Hessian matrices and the computation of FIGARCH estimates (Q1766976) (← links)
- Empirical volatility analysis: Feature detection and signal extraction with function dictionaries (Q1855542) (← links)
- Special issue: Long memory and nonlinear time series. Selected papers of a conference, Cardiff, UK, July 9--11, 2000 (Q1863673) (← links)
- Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
- A model for long memory conditional heteroscedasticity. (Q1872488) (← links)
- Varieties of long memory models (Q1922359) (← links)
- Wavelets-based estimation of nonlinear canonical analysis (Q1933355) (← links)
- Asymptotic behavior of weakly dependent aggregated processes (Q1945281) (← links)
- Pricing and hedging long-term options (Q1969824) (← links)
- Dynamics of the price behavior in stock markets: a statistical physics approach (Q2067455) (← links)
- M-estimate for the stationary hyperbolic GARCH models (Q2070660) (← links)
- A note on power-law cross-correlated processes (Q2122871) (← links)
- Correlated squared returns (Q2241899) (← links)
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach (Q2270553) (← links)
- Persistence in volatility, conditional kurtosis, and the Taylor property in absolute value GARCH processes (Q2270866) (← links)
- Exploring the financial risk of a temperature index: a fractional integrated approach (Q2288969) (← links)
- Distributionally robust \(L_1\)-estimation in multiple linear regression (Q2311121) (← links)
- Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction (Q2347737) (← links)
