VaR Prediction under Long Memory in Volatility
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-642-20009-0_20.pdf
Reference9 articles.
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3. R. Cont. Empirical properties of asset returns: stylized facts and statistical issues. Quantitative Finance, 1: 223–236, 2001.
4. Z. Ding, R. F. Engle, and C. W. J. Granger. A long memory property of stock market returns and a new model. Journal of Empirical Finance, 1: 83–106, 1993.
5. Z. Ding and C.W.J. Granger. Modeling volatility persistence of speculative returns: A new approach. Journal of Econometrics, 73: 185–215, 1996.
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