Browsing by Subject Long memory
Showing results 1 to 7 of 7
| Issue Date | Title | Author(s) | Type | Access Type |
|---|---|---|---|---|
| 6-Oct-2021 | Can we improve the accuracy of the value-at-risk with asymmetric and long memory GARCH models? | Lima, Rafael Manuel Vaz | Master Thesis | Open Access |
| 2025 | Local Whittle estimation in time-varying long memory series | Arteche, J.; Martins, L. F. | Article | Open Access |
| 2008 | Long memory and volatility clustering: is the empirical evidence consistent across stock markets? | Bentes, S. R.; Menezes, R.; Mendes, D. A. | Article | Open Access |
| 2014 | Measuring persistence in stock market volatility using the FIGARCH approach | Bentes, S. R. | Article | Embargoed Access |
| 2015 | The impact of the 2008 and 2010 financial crises on international stock markets: Contagion and long memory | Horta, Paulo Jorge de Brito | Doctoral Thesis | Open Access |
| 2013 | The long memory behaviour of stock market volatility: evidence from the PIIGS countries | Santos, Vasco Miguel de Assis dos | Master Thesis | Open Access |
| 27-Nov-2024 | The Variance Risk Premium | Caneira, Mafalda Amaro | Master Thesis | Open Access |