Auflistung nach Schlagwort "Long Memory"

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  • Essays on financial time series with a focus on high-frequency data 
    Becker, Janis (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This thesis contains six essays on financial time series. Special attention is paid to the opportunities that high-frequency data offers for modeling and forecasting the return and the risk, measured by the volatility or ...
  • Essays on fractional cointegration and long memory time series 
    Mboya, Mwasi (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2022)
    This dissertation contains three essays on distinguishing between structural breaks under long memory, testing for fractional cointegration relationship between the financial markets and developing optimal forecast methods ...
  • The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 
    Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be ...
  • Tail risk and long memory in financial markets 
    Nguyen, Duc Binh Benno (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2018)
    This thesis investigates the tail risk properties and long memory in financial markets and implications for asset pricing and hedging.