Showing 1 - 10 of 8,047
Persistent link: https://www.econbiz.de/10011480313
Persistent link: https://www.econbiz.de/10009507857
’s seminal work in terms of the estimation of highly non-linear model specifications ("Causality tests and observationally …
Persistent link: https://www.econbiz.de/10011536626
Persistent link: https://www.econbiz.de/10013441658
The Markov Tree model is a discrete-time option pricing model that accounts for short-term memory of the underlying asset. In this work, we compare the empirical performance of the Markov Tree model against that of the Black-Scholes model and Heston's stochastic volatility model. Leveraging a...
Persistent link: https://www.econbiz.de/10011312214
Persistent link: https://www.econbiz.de/10010462895
Persistent link: https://www.econbiz.de/10012180409
Persistent link: https://www.econbiz.de/10014505094
Persistent link: https://www.econbiz.de/10014466112
This paper studies the persistence of daily returns of 21 German stocks from 1960 to 2008. We apply a widely used test based upon the modified R/S-Method by Lo [1991]. As an extension to Lux [1996] and Carbone et al. [2004] and in analogy to moving average or moving volatility, the statistics is...
Persistent link: https://www.econbiz.de/10003970105