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Title: Measuring persistence in stock market volatility using the FIGARCH approachAuthor: Bentes, S. R.Language: InglésRepository: 73Subject: Long memory / Volatility / Persistence / Modelos GARCH / IGARCH / FIGARCH
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Title: Modeling long memory in the EU stock market: evidence from the STOXX 50 returnsAuthor: Bentes, S. / Ferreira, N. B.Language: InglésRepository: 73Subject: Stock long-memory / Persistence / Volatility / Conditional variance / FIGARCH
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Title: The asymmetry effect on volatility during the global financial crisisAuthor: Kovalchuk, SvyatoslavLanguage: InglésRepository: 73
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Title: Procedure to evaluate multivariate statistical process control using ARIMA-ARCH modelsAuthor: Souza, A. M. / Souza, F. M. / Menezes, R.Language: InglésRepository: 73
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Title: Multivariate Garch modelling for european banking and portuguese firmsLanguage: InglésRepository: 73Subject: Market capitalization / Correlations / Return rates / Volatility / Capitalização bolsista / Correlações / Taxas de retorno / Volatilidade
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Title: Modeling volatility: an assessment of the value at risk approachAuthor: Vieira, Joana BrunoLanguage: InglésRepository: 73Subject: Value at risk / Volatility / GARCH / Backtesting
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Title: Heterogeneous price dynamics in US regional electricity marketsAuthor: Dias, J. G. / Ramos, S.Language: InglésRepository: 73
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Title: Volatility derivatives: expected option returnsAuthor: Matias, Hugo António FigueiredoLanguage: InglésRepository: 73Subject: S&P 500 / Financial instruments / Derivatives / Volatility / Option returns / Instrumentos financeiros / Derivados financeiros / Volatilidade / Retornos das opções / Economia financeira / Opções / Índices Standard and Poor's / CAPM Capital Asset Pricing Model / Domínio/Área Científica::Ciências Sociais::Economia e Gestão / C1 / G12 / G23 / C Mathematical and quantitative methods / G Financial economics
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