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LARCH, leverage and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - London School of Economics (LSE) - 2003
We consider the long memory and leverage properties of a model for the conditional variance of an observable stationary … sequence, with square summable weights. This model, which we call linear ARCH (LARCH), specializes to the asymmetric ARCH model … of Engle (1990), and to a version of the quadratic ARCH model of Sentana (1995), these authors having discussed leverage …
Persistent link: https://www.econbiz.de/10010745453
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Forecasting volatility for an optimal portfolio with stylized facts using copulas
Karmous, Aida; Boubaker, Heni; Belkacem, Lotfi - In: Computational economics 58 (2021) 2, pp. 461-482
Persistent link: https://www.econbiz.de/10012615046
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A new look at Cryptocurrencies
Phillip, Andrew; Chan, Jennifer S. K.; Peiris, Shelton - In: Economics letters 163 (2018), pp. 6-9
Persistent link: https://www.econbiz.de/10011982903
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Volatility in the mid-cap and small-cap equity market : a case study based on BSE mid-cap index and BSE small-cap index
Sikdar, Avijit - In: Research bulletin / The Institute of Cost Accountants … 44 (2018) 2, pp. 120-158
Persistent link: https://www.econbiz.de/10012130197
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10010837984
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732596
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
Persistent link: https://www.econbiz.de/10010732623
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Multiple time scales and the exponential Ornstein-Uhlenbeck stochastic volatility model
Masoliver, Jaume; Perello, Josep - In: Quantitative Finance 6 (2006) 5, pp. 423-433
behaviour in the volatility autocorrelation. It also exhibits a leverage correlation and a probability profile for the …
Persistent link: https://www.econbiz.de/10009208399
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Department of Economics and Finance, College of … - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10008553000
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Ten Things We Should Know About Time Series
McAleer, Michael; Oxley, Les - Institute of Economic Research, Kyoto University - 2010
realized volatility models, not confusing thresholds, asymmetry and leverage, not underestimating the complexity of …
Persistent link: https://www.econbiz.de/10008489841