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Volatility in the mid-cap and small-cap equity market : a case study based on BSE mid-cap index and BSE small-cap index

Sikdar, Avijit - In: Research bulletin / The Institute of Cost Accountants … 44 (2018) 2, pp. 120-158

Persistent link: https://www.econbiz.de/10012130197

Forecasting volatility for an optimal portfolio with stylized facts using copulas

Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482

Persistent link: https://www.econbiz.de/10012615046

Evaluating maximum likelihood estimation methods to determine the Hurst coefficient

Kendziorski, C.M; Bassingthwaighte, J.B; Tonellato, P.J - In: Physica A: Statistical Mechanics and its Applications 273 (1999) 3, pp. 439-451

A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5H1, characterizes long memory time series by quantifying the rate of decay of the autocorrelation function. S-MLE was developed to estimate H...

Persistent link: https://www.econbiz.de/10010664874

Distinguishing between long-range dependence and deterministic trends

Sibbertsen, Philipp; Venetis, Ioannis - 2003

Persistent link: https://www.econbiz.de/10001813104

Fractional integration with Bloomfield disturbances in the specification of real output in the G7 countries

Gil-Alaña, Luis A. (contributor) - In: Topics in macroeconomics 3 (2003) 1

Persistent link: https://www.econbiz.de/10001800507

A simple model that generates stylized facts of returns

Yoon, Gawon - 2003

Persistent link: https://www.econbiz.de/10001753302

The long range dependence paradigm for macroeconomics and finance

Henry, Marc (contributor); Zaffaroni, Paolo (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001655532

Shaking the tree : an agency-theoretic model of asset pricing

Shorish, Jamsheed; Spear, Stephen E. - In: Annals of finance 1 (2005) 1, pp. 51-72

Persistent link: https://www.econbiz.de/10002615401

Shaking the tree : an agency-theoretic model of asset pricing

Shorish, Jamsheed; Spear, Stephen E. - In: Essays in dynamic general equilibrium theory ; …, (pp. 243-265). 2004

Persistent link: https://www.econbiz.de/10002576152

Parallel architecture of CNN-bidirectional LSTMs for implied volatility forecast

Choi, Ji-Eun; Shin, Dong-wan - In: Journal of forecasting 41 (2022) 6, pp. 1087-1098

Persistent link: https://www.econbiz.de/10013465682

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