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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
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Multiple-period market risk prediction under long memory: when VaR is higher than expected
Kinateder, Harald; Wagner, Niklas - In: The Journal of Risk Finance 15 (2014) 1, pp. 4-32
volatility. Design/methodology/approach – The paper proposes volatility forecasts based on a combination of the GARCH(1,1)-model … past volatility shocks. As the square-root-of-time rule is known to be mis-specified, the GARCH setting of Drost and Nijman …
Persistent link: https://www.econbiz.de/10014902009
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Do emerging markets become more efficient as they develop? : long memory persistence in equity indices
Hull, Matthew; McGroarty, Frank - In: Emerging markets review 18 (2014), pp. 45-61
Persistent link: https://www.econbiz.de/10010417536
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Long memory and efficiency of Bitcoin during COVID-19
Wu, Xiang; Wu, Liang; Chen, Shujuan - In: Applied economics 54 (2022) 4, pp. 375-389
Persistent link: https://www.econbiz.de/10012874043
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Investing in mutual funds : are you paying for performance or for the ties of the manager?
Siriopoulos, Costas; Skaperda, Maria - In: Bulletin of applied economics 7 (2020) 2, pp. 153-164
Persistent link: https://www.econbiz.de/10012813848
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How the efficiency of mutual funds in India have evolved over time : A study on selected mutual funds in India
Datta, Radhika Prosad; Seal, Jayanta Kumar - In: The journal of prediction markets 14 (2020) 1, pp. 3-26
Persistent link: https://www.econbiz.de/10012667146
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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
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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
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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
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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