Long-Term Memory in Stock Market Prices
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Nonlinear complexity and chaotic behaviors on finite-range stochastic epidemic financial dynamics
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Long memory and data frequency in financial markets
- Asymptotic theory for estimating drift parameters in the fractional Vasicek model
- Fractional order description of DNA
- Bayesian estimation of fractional difference parameter in ARFIMA models and its application
- Exploring long-memory process in the prediction of interval-valued financial time series and its application
- Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
- Non-parametric estimation under strong dependence
- R/S-bootstrapping test for fractional integration
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Pricing of equity indexed annuity under fractional Brownian motion model
- Time evolution of stochastic processes with correlations in the variance: stability in power-law tails of distributions
- The k-factor GARMA process with infinite variance innovations
- Long-term dependence in stock returns
- A fractional version of the Merton model.
- Testing for boundary conditions in case of fractionally integrated processes
- Testing a sub-hypothesis in linear regression models with long memory covariates and errors.
- Fuzzy clustering of time series with time-varying memory
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
- KPSS test for functional time series
- Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
- Limit theorems for functionals of moving averages
- Pricing currency options in the mixed fractional Brownian motion
- Testing power-law cross-correlations: rescaled covariance test
- Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets
- Fractional Brownian motion time-changed by gamma and inverse gamma process
- An introduction to statistical finance
- A robust version of the KPSS test based on indicators
- Option pricing of a mixed fractional-fractional version of the Black-Scholes model
- A critical look at Lo's modified \(R/S\) statistic.
- Estimating the Hurst parameter in financial time series via heuristic approaches
- Fractional integration and data frequency
- Estimating the differencing parameter via the partial autocorrelation function
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Bayesian analysis of long memory and persistence using ARFIMA models
- Robust portfolio selection with distributional uncertainty and integer constraints
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Assessing conditional extremal risk of flooding in Puerto Rico
- Testing stationarity of functional time series
- The role of communication and imitation in limit order markets
- A long-memory integer-valued time series model, INARFIMA, for financial application
- The V/S test of long-range dependence in random fields
- CEV model equipped with the long-memory
- Estimation of Hurst exponent revisited
- A Statistical Recurrent Stochastic Volatility Model for Stock Markets
- Asymptotic properties of wavelet estimators in partially linear errors-in-variables models with long-memory errors
- scientific article; zbMATH DE number 1984192 (Why is no real title available?)
- Error and stability estimates of a time-fractional option pricing model under fully spatial-temporal graded meshes
- NONLINEAR ERROR CORRECTION: THE CASE OF MONEY DEMAND IN THE UNITED KINGDOM (1878–2000)
- Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets
- Fractional order stochastic differential equation with application in European option pricing
- Testing for bubbles and change-points
- Statistical properties of detrended fluctuation analysis
- Revisiting the multifractality in stock returns and its modeling implications
- Long memory processes and fractional integration in econometrics
- Modeling and pricing long memory in stock market volatility
- The range inter-event process in asymmetric birth-death random walk
- Multivariate multiscale entropy of financial markets
- Pricing Asian options under the mixed fractional Brownian motion with jumps
- The asymptotic codifference and covariation of log-fractional stable noise
- Quantifying Model Uncertainties in Complex Systems
- LONG MEMORY AND SAMPLING FREQUENCIES: EVIDENCE IN STOCK INDEX FUTURES MARKETS
- On non-Gaussianity and dependence in financial time series: a nonextensive approach
- Equity-linked annuity valuation under fractional jump-diffusion financial and mortality models
- Pricing catastrophe equity put options in a mixed fractional Brownian motion environment
- The skewed multifractal random walk with applications to option smiles
- Does the method of data detrending matter? A study of the KPSS test against long memory alternatives
- The detection and estimation of long memory in stochastic volatility
- Volatility clustering in agent based market models
- Note on bandwidth selection in testing for long range dependence.
- Rao's score, Neyman's C() and Silvey's LM tests: an essay on historical developments and some new results
- Asset-asset interactions and clustering in financial markets
- Short and long memory in stock returns data
- Pricing of financial derivatives based on the Tsallis statistical theory
- Asymptotic properties of the R/S statistics for linear processes
- Two-sample \(U\)-statistic processes for long-range dependent data
- ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
- Estimation of the fractionally differencing parameter with the R/S method
- Exploring the financial risk of a temperature index: a fractional integrated approach
- Long-range dependence and asset return anomaly
- Arbitrage with fractional Gaussian processes
- Testing for long memory in the Asian foreign exchange rates
- Local asymptotic powers of nonparametric and semiparametric tests for fractional integration
- The functional central limit theorem and structural change test for the \(\mathrm{HAR}(\infty)\) model
- Gaussian inference on certain long-range dependent volatility models
- Long memory and stochastic trend.
- Long-range correlations in cryptocurrency markets: a multi-scale DFA approach
- No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
- Testing for long-term memory in yen/dollar exchange rate
- Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
- Evaluating currency risk in emerging markets
- Structural breaks in time series
- Temporal Aggregation and Bandwidth selection in estimating long memory
- Wavelet-based estimation of anisotropic spatiotemporal long-range dependence
- Trading fractional Brownian motion
- Why Aggregate Long Memory Time Series?
- Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation
This page was built for publication: Long-Term Memory in Stock Market Prices
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4271324)