Related Books

Modeling and Forecasting Long Range Dependence in Volatility
Language: en
Pages: 364
Authors: Nan Qu
Categories:
Type: BOOK - Published: 2010 - Publisher:

DOWNLOAD EBOOK

This thesis conducts three exercises on volatility modeling of financial assets. We are essentially interested in the estimation and forecasting of daily volati
Discrete-time Volatility Forecasting with Persistent Leverage Effect and the Link with Continuous-time Volatility Modeling
Language: en
Pages: 34
Authors: Fulvio Corsi
Categories:
Type: BOOK - Published: 2010 - Publisher:

DOWNLOAD EBOOK

We first propose a reduced-form model in discrete time for Samp;P500 volatility showing that the forecasting performance of a volatility model can be significan
Theory and Applications of Long-Range Dependence
Language: en
Pages: 744
Authors: Paul Doukhan
Categories: Mathematics
Type: BOOK - Published: 2002-12-13 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

The area of data analysis has been greatly affected by our computer age. For example, the issue of collecting and storing huge data sets has become quite simpli
On Attempts to Use Models Incorporating Long-Range Dependence in Long-Term Volatility Forecasting
Language: en
Pages: 20
Authors: Nicholas Reitter
Categories:
Type: BOOK - Published: 2018 - Publisher:

DOWNLOAD EBOOK

ARFIMA models, as advocated by Jiang and Tian for use in long-term volatility forecasting, are found in a follow-up empirical study to be dominated by a certain
Handbook of Volatility Models and Their Applications
Language: en
Pages: 566
Authors: Luc Bauwens
Categories: Business & Economics
Type: BOOK - Published: 2012-04-17 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communication