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Is market fear persistent? : a long-memory analysis

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 27 (2018), pp. 140-147

Persistent link: https://www.econbiz.de/10012006763

Long memory in the Ukrainian stock market and financial crises

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Journal of economics and finance 40 (2016) 2, pp. 235-257

Persistent link: https://www.econbiz.de/10011658783

Chapter 7 Forecasting with Unobserved Components Time Series Models

Harvey, Andrew - 2006

section compares stochastic volatility models with GARCH. …

Persistent link: https://www.econbiz.de/10014023699

Long range dependence in the Indian stock market : evidence of fractional integration, non-linearities and breaks

Gil-Alaña, Luis A.; Tripathy, Trilochan - In: Journal of quantitative economics : official journal of … 14 (2016) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10011639888

Long range dependence in the indian stock market : evidence of fractional integration, non-linearities and breaks

Gil-Alaña, Luis A.; Tripathy, Trilochan - In: Journal of quantitative economics 14 (2016) 2, pp. 199-215

Persistent link: https://www.econbiz.de/10012418211

Long memory in volatility in foreign exchange markets : evidence from selected countries in Africa

Kuttu, Saint; Abor, Joshua Yindenaba; Amewu, Godfred - In: Journal of economics and finance : JEF 48 (2024) 2, pp. 462-482

Persistent link: https://www.econbiz.de/10015097329

Hedge fund return dynamics : long memory and regime switching

Limam, M. A.; Terraza, Virginie; Terraza, Michel - In: International journal of financial research 8 (2017) 4, pp. 148-166

Persistent link: https://www.econbiz.de/10011782456

Volatility persistence in cryptocurrency markets under structural breaks

Abakah, Emmanuel Joel Aikins; Gil-Alaña, Luis A.; … - In: International review of economics & finance : IREF 69 (2020), pp. 680-691

Persistent link: https://www.econbiz.de/10012487193

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179