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Volatility Processes and Volatility Forecast with Long Memory
SSRN Electronic Journal
◽
10.2139/ssrn.306000
◽
2002
◽
Cited By ~ 7
Author(s):
Gilles O. Zumbach
Keyword(s):
Long Memory
◽
Volatility Forecast
Download Full-text
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References
Volatility process and volatility forecast with long memory
Quantitative Finance
◽
10.1080/14697680400000007
◽
2004
◽
Vol 4
(1)
◽
pp. 70-86
Author(s):
Gilles Zumbach
Keyword(s):
Long Memory
◽
Volatility Forecast
Download Full-text
Volatility processes and volatility forecast with long memory
Quantitative Finance
◽
10.1088/1469-7688/4/1/007
◽
2004
◽
Vol 4
(1)
◽
pp. 70-86
◽
Cited By ~ 34
Author(s):
Gilles Zumbach
Keyword(s):
Long Memory
◽
Volatility Forecast
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Realized Volatility Forecast: Structural Breaks, Long Memory, Asymmetry, and Day-of-the-Week Effect
International Review of Finance
◽
10.1111/irfi.12030
◽
2014
◽
Vol 14
(3)
◽
pp. 345-392
◽
Cited By ~ 12
Author(s):
Ke Yang
◽
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Keyword(s):
Long Memory
◽
Structural Breaks
◽
Realized Volatility
◽
Day Of The Week
◽
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Term-Long Memory
Contemporary Psychology
◽
10.1037/023039
◽
1984
◽
Vol 29
(7)
◽
pp. 576-577
Author(s):
Leonard D. Stern
Keyword(s):
Long Memory
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Limit theorems for long-memory flows on Wiener chaos
Bernoulli
◽
10.3150/19-bej1168
◽
2020
◽
Vol 26
(2)
◽
pp. 1473-1503
◽
Cited By ~ 1
Author(s):
Shuyang Bai
◽
Murad S. Taqqu
Keyword(s):
Long Memory
◽
Limit Theorems
◽
Wiener Chaos
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Time Series Long Memory Identification and Quantile Spectral Analysis.
10.21236/ada132240
◽
1983
◽
Author(s):
Emanuel Parzen
Keyword(s):
Time Series
◽
Spectral Analysis
◽
Long Memory
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Statistical benefits of value-at-risk with long memory
The Journal of Risk
◽
10.21314/jor.2005.119
◽
2005
◽
Vol 7
(4)
◽
pp. 21-45
◽
Cited By ~ 18
Author(s):
Andrea Beltratti
◽
Claudio Morana
Keyword(s):
At Risk
◽
Long Memory
◽
Value At Risk
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Estimating DSGE Models with Long Memory Dynamics
SSRN Electronic Journal
◽
10.2139/ssrn.1137529
◽
2008
◽
Author(s):
Gianluca Moretti
◽
Giulio Nicoletti
Keyword(s):
Long Memory
◽
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A Regime Switching Long Memory Model for Electricity Prices
SSRN Electronic Journal
◽
10.2139/ssrn.1147547
◽
2006
◽
Author(s):
Niels Haldrup
◽
Morten Ørregaard Nielsen
Keyword(s):
Long Memory
◽
Regime Switching
◽
Memory Model
◽
Electricity Prices
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Dual Long-Memory, Structural Breaks and the Link Between Turnover and the Range-Based Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.1344315
◽
2009
◽
Author(s):
Menelaos Karanasos
Keyword(s):
Long Memory
◽
Structural Breaks
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