Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"long-memory models"”.
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Long-memory stochastic volatility model calibration using deep neural nets
Widespread use of stochastic volatility models in the financial industry is bottlenecked by the complexity and intractability they present. Since the seminal work in quantitative finance by Black et al. and Merton, the infamous Black-Scholes model has been extensively used in the industry for …
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The efficiency of the oil futures markets: information, price discovery and long memory
… the period 2000 to 2011. First, the short and long term efficiency is examined by testing the unbiasedness of the oil futures price in predicting the expected spot price using the Johansen (1988) and the Engle-Granger (1987) cointegration tests, and the Error Correction Model (ECM). The results …
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Price volatility and liquidity cost in grain futures markets
… changes. The first essay examines the sources of long memory in three major grain futures contracts, and assesses its usefulness to forecast price volatility in periods of moderate and heightened uncertainty. Using data from corn, soybeans and wheat futures contracts in 1989-2011, statistical …