Browsing School of Business by Subject "Long memory"

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Browsing School of Business by Subject "Long memory"

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  • Cotter, John ; Stevenson, Simon (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)
    One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares ...
  • Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...
  • Cotter, John (Taylor & Francis, 2005-08)
    Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...

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