Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Author: Shelton Peiris
Publisher:
Total Pages:
Release: 2016
Genre:
ISBN:


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Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models
Language: en
Pages:
Authors: Shelton Peiris
Categories:
Type: BOOK - Published: 2016 - Publisher:

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Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Language: en
Pages: 27
Authors: Manabu Asai
Categories:
Type: BOOK - Published: 2017 - Publisher:

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In recent years fractionally differenced processes have received a great deal of attention due to their flexibility in financial applications with long memory.
Parameter Estimation in Stochastic Volatility Models
Language: en
Pages: 634
Authors: Jaya P. N. Bishwal
Categories: Mathematics
Type: BOOK - Published: 2022-08-06 - Publisher: Springer Nature

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This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy. While
Modeling and Forecasting Long Range Dependence in Volatility
Language: en
Pages: 364
Authors: Nan Qu
Categories:
Type: BOOK - Published: 2010 - Publisher:

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This thesis conducts three exercises on volatility modeling of financial assets. We are essentially interested in the estimation and forecasting of daily volati
Forecasting Realised Volatility Using a Long Memory Stochastic Volatility Model
Language: en
Pages:
Authors:
Categories:
Type: BOOK - Published: 2003 - Publisher:

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