A short cut: Directly pricing VIX futures with discrete‐time long memory model and asymmetric jumps

2020 ◽  
Author(s):  
Fangsheng Yin ◽  
Yang Bian ◽  
Tianyi Wang
Keyword(s):  
Discrete Time ◽  
Long Memory ◽  
Memory Model ◽  
Vix Futures

Modeling and forecasting daily average PM10 concentrations by a seasonal long-memory model with volatility

2014 ◽  
Vol 51 ◽  
pp. 286-295 ◽  
Author(s):  
Valdério Anselmo Reisen ◽  
Alessandro José Queiroz Sarnaglia ◽  
Neyval Costa Reis ◽  
Céline Lévy-Leduc ◽  
Jane Méri Santos
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
Daily Average ◽  
Modeling And Forecasting

A k-Factor GARMA Long-memory Model

1998 ◽  
Vol 19 (4) ◽  
pp. 485-504 ◽  
Author(s):  
Wayne A. Woodward ◽  
Q. C. Cheng ◽  
H. L. Gray
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
K Factor

scholarly journals Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks

2017 ◽  
Vol 27 (6) ◽  
pp. 638-654 ◽  
Author(s):  
Christophe Andre ◽  
Mehmet Balcilar ◽  
Tsangyao Chang ◽  
Luis Alberiko Gil-Alana ◽  
Rangan Gupta
Keyword(s):  
Current Account ◽  
Long Memory ◽  
Structural Breaks ◽  
Memory Model ◽  
Current Account Sustainability

scholarly journals A periodic long-memory model for quarterly UK inflation

1997 ◽  
Vol 13 (1) ◽  
pp. 117-126 ◽  
Author(s):  
Philip Hans Franses ◽  
Marius Ooms
Keyword(s):  
Long Memory ◽  
Memory Model

Seasonal Nonlinear Long Memory Model for the US Inflation Rates

2007 ◽  
Vol 31 (3) ◽  
pp. 243-254 ◽  
Author(s):  
Ahdi Noomen Ajmi ◽  
Adnen Ben Nasr ◽  
Mohamed Boutahar
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
Inflation Rates ◽  
The Us
Sign in / Sign up

Export Citation Format

Share Document