✦ LIBER ✦

Estimating Long Memory in Volatility

✍ Scribed by Clifford M. Hurvich; Eric Moulines; Philippe Soulier

Book ID: 111052474
Publisher: John Wiley and Sons
Year: 2005
Tongue: English
Weight: 309 KB
Volume: 73
Category: Article
ISSN: 0012-9682
DOI: 10.1111/j.1468-0262.2005.00616.x

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Corrigendum to “Estimating Long Memory i

Corrigendum to “Estimating Long Memory in Volatility”

✍ Clifford M. Hurvich; Eric Moulines; Philippe Soulier 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 35 KB

Gaussian semiparametric estimation in lo

Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models

✍ Josu Arteche 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 523 KB

Estimation and pricing under long-memory

Estimation and pricing under long-memory stochastic volatility

✍ Alexandra Chronopoulou; Frederi G. Viens 📂 Article 📅 2010 🏛 Springer 🌐 English ⚖ 469 KB

Long-memory volatility in derivative hed

Long-memory volatility in derivative hedging

✍ Abby Tan 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 158 KB

The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381-392] where they incorporate long-memory s

Long memory volatility in Chinese stock

Long memory volatility in Chinese stock markets

✍ Sang Hoon Kang; Chongcheul Cheong; Seong-Min Yoon 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 689 KB

Long memory in volatility and trading vo

Long memory in volatility and trading volume

✍ Jeff Fleming; Chris Kirby 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 273 KB