This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

volatility. Hence, they are viable alternatives to the geometric Brownian motion. …

due to taxation and how emergent properties from the interaction of traders like bubbles and crashes, excess volatility …, excess kurtosis and volatility clustering change. Numerical simulations reveal that under taxation traders abstain from short …-term trading in favour of longer investment horizons. This change in behavior leads to less excess volatility and diminishing …

investment horizons. This change in behavior leads to less volatility and less mispricings. When the tax rate exceeds a certain …

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent …