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Extending the Fama and French model with a long term memory factor
López-García, M. N.; Trinidad-Segovia, J. E.; … - In: European journal of operational research : EJOR 291 (2021) 2, pp. 421-426
Persistent link: https://www.econbiz.de/10012495319
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Catching the curl : wavelet thresholding improves forward curve modelling
Power, Gabriel J.; Eaves, James; Turvey, Calum Greig; … - In: Economic modelling 64 (2017), pp. 312-321
Persistent link: https://www.econbiz.de/10011761254
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Flexible modeling of dependence in volatility processes
Kalli, Maria; Griffin, Jim - In: Journal of business & economic statistics : JBES ; a … 33 (2015) 1, pp. 102-113
Persistent link: https://www.econbiz.de/10011389911
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
This paper considers a simple Continuous Beliefs System (CBS) toinvestigate the effects on price dynamics of several behavioralassumptions: (i) herd behaviour; (ii) a-synchronous updating ofbeliefs; and (iii) heterogeneity in time horizons (memory) amongagents. The recently introduced concept of...
Persistent link: https://www.econbiz.de/10011334332
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Heterogeneous component multiplicative error models for forecasting trading volumes
Naimoli, Antonio; Storti, Giuseppe - In: International journal of forecasting 35 (2019) 4, pp. 1332-1355
Persistent link: https://www.econbiz.de/10012305333
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Multifractality in finance : a deep understanding and review of Mandelbrot's MMAR
Maglione, Federico - 2015
Persistent link: https://www.econbiz.de/10011632222
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Fractionally integrated COGARCH processes
Haug, Stephan; Klüppelberg, Claudia; Straub, German - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 599-628
Persistent link: https://www.econbiz.de/10011988000
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Leverage effect in energy futures
Kristoufek, Ladislav - 2014
We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a … estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long …-term dependent with the Hurst exponent on a verge of stationarity and non-stationarity. To overcome such complication, we utilize the …
Persistent link: https://www.econbiz.de/10010407507
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Modular pricing of options : an application of Fourier analysis
Zhu, Jianwei - 2000
Persistent link: https://www.econbiz.de/10001499875
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Fourier series method for measurement of multivariate volatilities
Malliavin, Paul; Mancino, Maria Elvira - In: Finance and stochastics 6 (2002) 1, pp. 49-61
Persistent link: https://www.econbiz.de/10001643748