The value of expected return persistence
Year of publication: |
2023
|
---|---|
Authors: | Schadner, Wolfgang ; Lang, Sebastian |
Subject: | Fractal Brownian motion | Implied volatility | Long range memory | Return persistence | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory |
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