Pages that link to "Item:Q5932777"

The following pages link to The memory of stochastic volatility models (Q5932777):

Displaying 34 items.

• Aggregation and memory of models of changing volatility (Q278251) (← links)
• Predicting volatility: getting the most out of return data sampled at different frequencies (Q292004) (← links)
• On approximate pseudo-maximum likelihood estimation for LARCH-processes (Q605885) (← links)
• Extremal memory of stochastic volatility with an application to tail shape inference (Q607175) (← links)
• Sample quantile analysis for long-memory stochastic volatility models (Q888329) (← links)
• Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
• Testing for bubbles and change-points (Q953776) (← links)
• Covariance stationary GARCH-family models with long memory property (Q1031773) (← links)
• Gaussian inference on certain long-range dependent volatility models (Q1398961) (← links)
• ARCH-type bilinear models with double long memory. (Q1766035) (← links)
• Dynamic hedging based on fractional order stochastic model with memory effect (Q1793474) (← links)
• \(L_1\)-estimation for the location parameters in stochastic volatility models (Q2261904) (← links)
• On location estimation for LARCH processes (Q2507743) (← links)
• Long Memory in Integrated and Realized Variance (Q2930712) (← links)
• Projective Stochastic Equations and Nonlinear Long Memory (Q2939267) (← links)
• On the Transmission of Memory in Garch‐in‐Mean Models (Q3192402) (← links)
• Consistent estimation of the memory parameter for nonlinear time series (Q3440757) (← links)
• Long-memory in high-frequency exchange rate volatility under temporal aggregation (Q3502187) (← links)
• A Class of Antipersistent Processes (Q3505318) (← links)
• Finite Sample Performance in Cointegration Analysis of Nonlinear Time Series with Long Memory (Q3539876) (← links)
• FRACTIONAL COINTEGRATION IN STOCHASTIC VOLATILITY MODELS (Q3632416) (← links)
• TOWARDS A MULTIFRACTAL PARADIGM OF STOCHASTIC VOLATILITY? (Q4662048) (← links)
• Analysis of the correlation structure of square time series (Q4677028) (← links)
• Financial Markets with Memory I: Dynamic Models (Q4678735) (← links)
• Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization (Q4678736) (← links)
• Modelling long-range-dependent Gaussian processes with application in continuous-time financial models (Q4819471) (← links)
• Limit Theorems for Long-Memory Stochastic Volatility Models with Infinite Variance: Partial Sums and Sample Covariances (Q4906509) (← links)
• ASYMPTOTIC NORMALITY FOR WEIGHTED SUMS OF LINEAR PROCESSES (Q4979940) (← links)
• (Q4986382) (← links)
• Tests for Volatility Shifts in Garch Against Long‐Range Dependence (Q5177968) (← 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)
• Log-normal continuous cascade model of asset returns: aggregation properties and estimation (Q5397418) (← links)
• Likelihood‐based Analysis of a Class of Generalized Long‐Memory Time Series Models (Q5430505) (← links)
• How can we Define the Concept of Long Memory? An Econometric Survey (Q5466754) (← links)