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Intermittency, long-memory and financial returns
Bhansali, Raj
;
Holland, Mark P.
;
Kokoszka, Piotr S.
- In:
Long memory in economics : with 50 tables
,
(pp. 39-68)
.
2006
Persistent link: https://www.econbiz.de/10003375590
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The variance of sample autocorrelations : does Barlett's formula work with ARCH data?
Kokoszka, Piotr S.
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003782412
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Bachelier and his times : a conversation with Bernard Bru
Taqqu, Murad S.
- In:
Finance and stochastics
5
(
2001
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10001553037
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Robust Regression on Stationary Time Series : A Self-Normalized Resampling Approach
Akashi, Fumiya
;
Bai, Shuyang
;
Taqqu, Murad S.
- In:
Journal of Time Series Analysis
39
(
2018
)
3
,
pp. 417-432
Persistent link: https://www.econbiz.de/10012094927
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A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter
Taqqu, Murad S.
;
Zhang, Ting
- In:
Journal of Time Series Analysis
40
(
2019
)
4
,
pp. 411-424
Persistent link: https://www.econbiz.de/10012094968
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6
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
Babayan, Nikolay M.
;
Ginovyan, Mamikon S.
;
Taqqu, Murad S.
- In:
Journal of Time Series Analysis
42
(
2020
)
5-6
,
pp. 622-652
Persistent link: https://www.econbiz.de/10012410067
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7
Option pricing in arch-type models
Kallsen, Jan
- In:
Mathematical finance : an international journal of …
8
(
1998
)
1
,
pp. 13-26
Persistent link: https://www.econbiz.de/10001240800
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Stock market prices and long-range dependence
Willinger, Walter
;
Taqqu, Murad S.
;
Teverovsky, Vadim
- In:
Finance and stochastics
3
(
1999
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10001367393
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Financial risk and heavy tails
Bradley, Brendan O.
;
Taqqu, Murad S.
- In:
Handbook of heavy tailed distributions in finance
,
(pp. 35-103)
.
2003
Persistent link: https://www.econbiz.de/10001882016
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An extreme value theory approach to the allocation of multiple assets
Bradley, Brendan O.
;
Taqqu, Murad S.
- In:
International journal of theoretical and applied finance
7
(
2004
)
8
,
pp. 1031-1068
Persistent link: https://www.econbiz.de/10002476570
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