Auflistung nach Schlagwort "volatility"

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  • Essays on fractional cointegration and spurious long memory 
    Afzal, Alia (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2019)
    This thesis contains four essays on fractional cointegration and spurious long memory following the introduction and related literature in the first chapter. Chapter 2 provides an analysis of fractional integration and ...
  • 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.