Pages that link to "Item:Q1331844"

The following pages link to Long-range dependence in the conditional variance of stock returns (Q1331844):

Displaying 24 items.

• Spurious regression (Q609686) (← links)
• The effect of tapering on the semiparametric estimators for nonstationary long memory processes (Q840964) (← links)
• The detection and estimation of long memory in stochastic volatility (Q1377319) (← links)
• Multiscale behaviour of volatility autocorrelations in a financial market (Q1606375) (← links)
• Semi-parametric smoothing estimators for long-memory processes with added noise (Q1611815) (← links)
• Forecasting volatility and the risk-return tradeoff: an application on the Fama-French benchmark market return (Q1695664) (← links)
• Generalized entropy approach to stable Lévy distributions with financial application (Q1855539) (← links)
• Rescaled variance and related tests for long memory in volatility and levels (Q1868970) (← links)
• Long memory processes and fractional integration in econometrics (Q1922357) (← links)
• Correlated squared returns (Q2241899) (← links)
• Fast computation and practical use of amplitudes at non-Fourier frequencies (Q2666997) (← links)
• Delta-hedging in fractional volatility models (Q2694770) (← links)
• Stochastic volatility and option pricing with long-memory in discrete and continuous time (Q2873036) (← links)
• MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS (Q3603957) (← links)
• Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application (Q3604092) (← links)
• A generalized ARFIMA process with Markov-switching fractional differencing parameter (Q3638584) (← links)
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS (Q4502825) (← links)
• Estimating the memory parameter for potentially non-linear and non-Gaussian time series with wavelets (Q5030162) (← links)
• Stationary increments reverting to a Tempered Fractional Lévy Process (TFLP) (Q5092651) (← links)
• The Slow Convergence of Ordinary Least Squares Estimators of <i>α</i>, <i>β</i> and Portfolio Weights under Long‐Memory Stochastic Volatility (Q5226148) (← links)
• A STOCHASTIC MODEL FOR MULTIFRACTAL BEHAVIOR OF STOCK PRICES (Q5312122) (← links)
• How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)
• Correlations and multi-affinity in high frequency financial datasets (Q5947858) (← links)
• A Statistical Recurrent Stochastic Volatility Model for Stock Markets (Q6149855) (← links)