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Found 3 essays matching the above criteria.

1. 1. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Julian Marvin Ulmer; Langkun Chen; [2021]
   Keywords : Cryptocurrencies; Conditional volatility; FIGARCH model; Monetary policy; Stressed expected shortfall; Business and Economics;

   Abstract : .... READ MORE

3. 2. Simulation Evidence on Long Memory and Regime Switching in the Second Moment for Modelling of Financial Returns

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Hans Isaksson; [2015]
   Keywords : Long memory; Regime switching; HMM; FIGARCH; Simulation study; Returns; Business and Economics;

   Abstract : It is well-known that long memory and regime switching in the first moment of a stochastic process are easily confused. But the relation between long memory in the second moment and regime switching in the second moment is less well understood. READ MORE

4. 3. Froecast the USA Stock Indices with GARCH-type Models

   University essay from Statistiska institutionen

   Author : Xinhua Cai; [2012]
   Keywords : Structural breaks; Long-memory; Stock indices; Forecast; FIGARCH;

   Abstract : .... READ MORE