A Memory Sterilized, Utilized, and Realized
نویسندگان
چکیده
منابع مشابه
Realized Stochastic Volatility with General Asymmetry and Long Memory∗
The paper develops a novel realized stochastic volatility model of asset returns and realized volatility that incorporates general asymmetry and long memory (hereafter the RSV-GALMmodel). The contribution of the paper ties in with Robert Basmann’s seminal work in terms of the estimation of highly non-linear model specifications (“Causality tests and observationally equivalent representations of...
متن کاملScaling and memory in the return intervals of realized volatility
We perform return interval analysis of 1-min realized volatility defined by the sum of absolute high-frequency intraday returns for the Shanghai Stock Exchange Composite Index (SSEC) and 22 constituent stocks of SSEC. The scaling behavior and memory effect of the return intervals between successive realized volatilities above a certain threshold q are carefully investigated. In comparison with ...
متن کاملRealized stochastic volatility with leverage and long memory
! ! The daily return and the realized volatility are simultaneously modeled in the stochastic volatility model with leverage and long memory. In addition to the stochastic volatility model with leverage for the daily returns, ARFIMA process is jointly considered for the realized volatilities. Using a state space representation of the model, we estimate parameters by Markov chain Monte Carlo met...
متن کاملRefined Inference on Long Memory in Realized Volatility
There is an emerging consensus in empirical finance that realized volatility series typically display long range dependence with a memory parameter (d) around 0.4 (Andersen et. al. (2001), Martens et. al. (2004)). The present paper provides some analytical explanations for this evidence and shows how recent results in Lieberman and Phillips (2004a, 2004b) can be used to refine statistical infer...
متن کاملA Single Voice Prosthesis Utilized For 17 Years
Introduction: Surgical procedures, especially total laryngectomy, have a profound adverse effect on the patient's physical, functional, as well as emotional health, and strongly decrease quality of life. Tracheoesophageal puncture is one of the most significant method that is widely performed successfully by physicians. Current valve technology enables long expiring duration; however, gen...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: IU Journal of Undergraduate Research
سال: 2021
ISSN: 2379-5611
DOI: 10.14434/iujur.v0i0.28676