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A long memory property of stock market returns and a new model

Ding, Zhuanxin; Granger, C. W. J.; Engle, Robert F. - 1992

Persistent link: https://www.econbiz.de/10000841643

A long memory property of stock market returns and a new model

Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106

Persistent link: https://www.econbiz.de/10001146683

Modeling volatility persistence of speculative returns : a new approach

Ding, Zhuanxin; Granger, C. W. J. - 1994

Persistent link: https://www.econbiz.de/10000892121

Time series analysis of speculative returns

Ding, Zhuanxin - 1994

Persistent link: https://www.econbiz.de/10000915963

Multi-Horizon Mean-Covariance Estimation for Serial Correlated Returns

Ding, Zhuanxin - 2019

Assume asset returns follow a VARMA_MARCH structure, this paper derives the proper multi-horizon mean and covariance matrix estimations that can be used as inputs to mean-variance optimization problem for investors with different horizons. The result is further extended to vector...

Persistent link: https://www.econbiz.de/10012862137