Listar por tema "long memory"
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Forecasting Daily variations of Stock Index Returns with a Multifractal Model of Realized Volatility
John Wiley & Sons (2014-09)Multifractal models have recently been introduced as a new type of data-generating process for asset returns and other financial data. Here we propose an adaptation of this model for realized volatility. We estimate this ... -
The inconsistency of market efficient hypothesis in financial systems: the appearance of volatility clustering
Universitat Jaume I (2017)The aim of this work is to present a set of stylized facts emerging in financial markets. It is important to remember that stylized facts are common properties across a wide range of time periods and markets. If one ...