Long memory and volatility behaviour in Paris option market
Nessim Souissi and Abderrahmen Aloulou (Department of Economics, Faculty of Economics and Management, SFAX-TUNISIA University, URECA Research Unit, Tunisia)
| Year of publication: |
2015
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|---|---|
| Authors: | Souissi, Nessim ; Aloulou, Abderrahmen |
| Published in: |
International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 1.2015, 4, p. 273-283
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| Subject: | realised volatility | implied volatility | long memory | fractional cointegration | narrow band least squares method | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Kleinste-Quadrate-Methode | Least squares method | Kointegration | Cointegration | ARMA-Modell | ARMA model | Schätztheorie | Estimation theory | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011546734