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~person:"Arrawatia, Rakesh"
~person:"BenSaïda, Ahmed"
~person:"Chang, Chia-Lin"
~subject:"Stochastic process"
~subject:"USA"
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Stochastic process
USA
Long memory
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asymmetry
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exchange rates
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Arrawatia, Rakesh
BenSaïda, Ahmed
Chang, Chia-Lin
Gil-Alaña, Luis A.
18
Caporale, Guglielmo Maria
13
Asai, Manabu
9
McAleer, Michael
8
Gil-Alana, Luis A.
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Sibbertsen, Philipp
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Boubaker, Heni
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3
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3
Plastun, Alex
3
Venetis, Ioannis
3
Adekoya, Oluwasegun B.
2
Barros, Carlos Pestana
2
Chan, Jennifer S. K.
2
Chronopoulou, Alexandra
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Gatheral, Jim
2
Jaisson, Thibault
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Jensen, Mark J.
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Nautz, Dieter
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Ooms, Marius
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Phillip, Andrew
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Tan, Zhengxun
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ECONIS (ZBW)
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Realized stochastic volatility with general asymmetry and
long
memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
-
2017
-
Revised: April 2017
incorporates general asymmetry and
long
memory
(hereafter the RSV-GALM model). The contribution of the paper ties in with Robert …
Persistent link: https://www.econbiz.de/10011636455
Saved in:
2
Value-at-Risk under Lévy GARCH models : evidence from global stock markets
Slim, Skander
;
Koubaa, Yosra
;
BenSaïda, Ahmed
- In:
Journal of international financial markets, …
46
(
2017
),
pp. 30-53
Persistent link: https://www.econbiz.de/10011745291
Saved in:
3
Realized stochastic volatility with general asymmetry and
long
memory
Asai, Manabu
;
Chang, Chia-Lin
;
McAleer, Michael
- In:
Journal of econometrics
199
(
2017
)
2
,
pp. 202-213
Persistent link: https://www.econbiz.de/10011897674
Saved in:
4
Relative efficiency of G8 sovereign credit default wwaps and bond scrips : an adaptive market hypothesis perspective
Madhavan, Vinodh
;
Arrawatia, Rakesh
- In:
Studies in microeconomics
4
(
2016
)
2
,
pp. 127-150
Persistent link: https://www.econbiz.de/10011904136
Saved in:
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