Related Books

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
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
Tests for Volatility Shifts in GARCH Against Long-Range Dependence
Language: en
Pages: 0
Authors: Taewook Lee
Categories:
Type: BOOK - Published: 2015 - Publisher:

DOWNLOAD EBOOK

Many empirical findings show that volatility in financial time series exhibits high persistence. Some researchers argue that such persistency is due to volatili
Volatility and Correlation
Language: en
Pages: 864
Authors: Riccardo Rebonato
Categories: Business & Economics
Type: BOOK - Published: 2005-07-08 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. W
Handbook of Economic Forecasting
Language: en
Pages: 667
Authors: Graham Elliott
Categories: Business & Economics
Type: BOOK - Published: 2013-08-23 - Publisher: Elsevier

DOWNLOAD EBOOK

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability