SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

A Simple Long Memory Model of Realized Volatility · Study

PreprintShelves

PreprintA Simple Long Memory Model of Realized Volatility

Fulvio Corsi2004

OA

Preprintgreen2004

A Simple Long Memory Model of Realized Volatility

249 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 249 citations exist upstream.

References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1980On estimating the expected return on the market 2001The Distribution of Realized Exchange Rate Volatility 1999Scaling and criticality in a stochastic multi-agent model of a financial market 1980Long memory relationships and the aggregation of dynamic models 2010A Long Memory Property of Stock Market Returns and a New Model 1980On Estimating the Expected Return on the Market: An Exploratory Investigation

Cited by

2010A reduced form framework for modeling volatility of speculative prices based on realized variation measures 2008A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects 2009Comparison of Volatility Measures: a Risk Management Perspective 2013A comprehensive review of Value at Risk methodologies 2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008The Volatility of Realized Volatilityarticle · 9 shared references 2005Volatility Forecastingreport · 9 shared references 2006Chapter 15 Volatility and Correlation Forecastingchapter · 8 shared references 2008Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatilitypreprint · 8 shared references 2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatilityreport · 8 shared references 2003Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Modelspreprint · 8 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations249

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.2139/ssrn.626064

openalex_workW1825069682

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2005Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility

2003Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

2010Forecasting multivariate realized stock market volatility