Similar Search Results

Fractionally integrated COGARCH processes

Haug, Stephan; Klüppelberg, Claudia; Straub, German - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 599-628

Persistent link: https://www.econbiz.de/10011988000

Stochastic dynamical modelling of spot freight rates

Benth, Fred Espen; Koekebakker, Steen; Taib, Che Mohd … - In: IMA journal of management mathematics 26 (2015) 3, pp. 273-297

Persistent link: https://www.econbiz.de/10011405425

Stationarity and invertibility of a dynamic correlation matrix

McAleer, Michael - 2017 - Revised: September 2017

the stationarity and invertibility conditions of the DCC model. The derivation of DCC from a vector random coefficient … than the returns shocks. The derivation of the regularity conditions, especially stationarity and invertibility, should … than returns shocks, as well as the associated stationarity and invertibility conditions. …

Persistent link: https://www.econbiz.de/10011715983

Lévy jump risk : evidence from options and returns

Ornthanalai, Chayawat - In: Journal of financial economics 112 (2014) 1, pp. 69-90

Persistent link: https://www.econbiz.de/10010375952

Tempered stable processes with time-varying exponential tails

Kim, Young Shin; Roh, Kum-Hwan; Douady, Raphaël - In: Quantitative finance 22 (2022) 3, pp. 541-561

Persistent link: https://www.econbiz.de/10013167779

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - 2016

In recent years fractionally differenced processes have received a great deal of attention due to its flexibility in financial applications with long memory. This paper considers a class of models generated by Gegenbauer polynomials, incorporating the long memory in stochastic volatility (SV)...

Persistent link: https://www.econbiz.de/10011483824

A simple model for now-casting volatility series

Breitung, Jörg; Hafner, Christian M. - 2015

Persistent link: https://www.econbiz.de/10011581871

Realized stochastic volatility with general asymmetry and long memory

Asai, Manabu; Chang, Chia-Lin; McAleer, Michael - 2017 - Revised: April 2017

The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALM model). The contribution of the paper ties in with Robert Basmann's seminal work in terms of the estimation of...

Persistent link: https://www.econbiz.de/10011636455

Estimating and forecasting generalized fractional long memory stochastic volatility models

Peiris, Shelton; Asai, Manabu; McAleer, Michael - In: Journal of risk and financial management : JRFM 10 (2017) 4, pp. 1-16

This paper considers a flexible class of time series models generated by Gegenbauer polynomials incorporating the long memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the corresponding statistical properties of this model,...

Persistent link: https://www.econbiz.de/10011854876

The ARL of modified Shewhart control charts for conditionally heteroskedastic models

Gonçalves, Esmeralda; Leite, Joana; Mendes-Lopes, Nazaré - In: Statistical Papers 54 (2013) 1, pp. 1-19

In this article we consider the modified Shewhart control chart for ARCH processes and introduce it for threshold ARCH (TARCH) ones. For both charts, we determine bounds for the distribution of the in-control run length (RL) and, consequently, for its average (ARL), both depending only on the...

Persistent link: https://www.econbiz.de/10010634353