Add to ORKGThe long memory properties of the integrated and realized volatility are investigated under the assumption that the instantaneous volatility is driven by a fractional Brownian motion. The equality of their long memory degrees is proved in the ideal situation when prices are observed continuously. In this case, the spectral density of the integrated and realized volatility coincide
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other ...
The focus of the volatility literature on forecasting and the predominance of theconceptually simple...
This paper derives the spectral density function of aggregated long memory processes in light of the...
The long memory properties of the integrated and realized volatility are investigated under the ass...
The long memory properties of the integrated and realized volatility are investigated under the assu...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
The volatility implied by observed market prices as a function of the strike and time to maturity fo...
Asset price volatility appears to be more persistent than can be captured by individual, short memor...
Long memory, and more precisely fractionally integration, has been put forward as an explanation for...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
Available online: 17 July 2018Long-range memory estimation is a functional statistical mechanics tec...
We investigate the relationship between volatility, measured by realized volatility, and trading vol...
This paper focuses on the long memory of prices and returns of an asset traded in a financial market...
We treat the problem of option pricing under a stochastic volatility model that exhibits long-range ...
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other ...
The focus of the volatility literature on forecasting and the predominance of theconceptually simple...
This paper derives the spectral density function of aggregated long memory processes in light of the...
The long memory properties of the integrated and realized volatility are investigated under the ass...
The long memory properties of the integrated and realized volatility are investigated under the assu...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
A stylized fact is that realized variance has long memory. We show that, when the instantaneous vola...
The volatility implied by observed market prices as a function of the strike and time to maturity fo...
Asset price volatility appears to be more persistent than can be captured by individual, short memor...
Long memory, and more precisely fractionally integration, has been put forward as an explanation for...
This article examines consistent estimation of the long-memory parameters of stock-market trading vo...
Available online: 17 July 2018Long-range memory estimation is a functional statistical mechanics tec...
We investigate the relationship between volatility, measured by realized volatility, and trading vol...
This paper focuses on the long memory of prices and returns of an asset traded in a financial market...
We treat the problem of option pricing under a stochastic volatility model that exhibits long-range ...
In the face of the upcoming 30th anniversary of econophysics, we review our contributions and other ...
The focus of the volatility literature on forecasting and the predominance of theconceptually simple...
This paper derives the spectral density function of aggregated long memory processes in light of the...