Measurement of Financial Risk Persistence
Year of publication: |
2005-02-13
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Authors: | Los, Cornelis A. |
Institutions: | EconWPA |
Subject: | Persistence | long memory | dependence | time series | frequency | critical exponents | fractional Brownian motion | (G)ARCH | risk measurement |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 37 37 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C23 - Models with Panel Data ; C53 - Forecasting and Other Model Applications ; G10 - General Financial Markets. General |
Source: |
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MaCurdy, Thomas, (2007)
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Measurement of Financial Risk Persistence
Los, Cornelis A., (2005)
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Measurement of Financial Risk Persistence
Los, Cornelis A., (2008)
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Persistence Characteristics of the Chinese Stock Markets
Los, Cornelis A., (2005)
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Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997
LOS, CORNELIS A., (2004)
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Persistence Characteristics of Latin American Financial Markets
KYAW, NYO NYO A., (2004)
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