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Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

Long memory and efficiency of Bitcoin under heavy tails

Wu, Liang; Chen, Shujuan - In: Applied economics 52 (2020) 48, pp. 5298-5309

Persistent link: https://www.econbiz.de/10012307228

Efficiency, multifractality, and the long-memory property of the Bitcoin market : a comparative analysis with stock, currency, and gold markets

Al-Yahyaee, Khamis Hamed; Mensi, Walid; Yoon, Seong-min - In: Finance research letters 27 (2018), pp. 228-234

Persistent link: https://www.econbiz.de/10012006868

Statistical features of persistence and long memory in mortality data

Peters, Gareth; Yan, Hongxuan; Chan, Jennifer - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 2, pp. 291-317

Persistent link: https://www.econbiz.de/10012593582

Long memory and fractality among global equity markets : a multivariate wavelet approach

Bhandari, Avishek; Kamaiah, Bandi - In: Journal of quantitative economics 19 (2021) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012489848

Improvement in Hurst exponent estimation and its application to financial markets

Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21

This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the most...

Persistent link: https://www.econbiz.de/10013413110

Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis

Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349

Persistent link: https://www.econbiz.de/10011583871

Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model

Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45

Persistent link: https://www.econbiz.de/10011588077

Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets

Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151

Persistent link: https://www.econbiz.de/10011703972

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