The value of expected return persistence
Wolfgang Schadner, Sebastian Lang
| Year of publication: |
2023
|
|---|---|
| Authors: | Schadner, Wolfgang ; Lang, Sebastian |
| Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 19.2023, 4, p. 449-476
|
| 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 |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-023-00428-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014448279