The long memory of volatility
| dc.contributor.author | Giatra, Despoina | en |
| dc.date.accessioned | 2020-06-02T07:59:50Z | |
| dc.date.available | 2020-06-02T07:59:50Z | |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/29884 | |
| dc.identifier.uri | http://dx.doi.org/10.26268/heal.uoi.9780 | |
| dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
| dc.subject | Volatility | en |
| dc.subject | Stochastic volatility | en |
| dc.subject | Long memory stochastic volatility | en |
| dc.subject | Fractional differencing | en |
| dc.subject | ARFIMA | en |
| dc.subject | Spectrum density | en |
| dc.title | The long memory of volatility | en |
| dc.title | Υποδείγματα μακράς μνήμης για μετοχές με μεταβλητή διακύμανση | el |
| heal.abstract | This dissertation provides a survey and review of the major models that help us analyze volatility, stochastic volatility, long memory stochastic volatility and fractional differencing. We also make a review on AR, MA, ARMA, ARIMA and ARFIMA models and other tools such as spectrum density that are needed to analyze the above. In section 4 we will show how the fractional differencing is connected with parameter d and long-term memory. Section 5 presents the empirical analysis, which shows whether long memory appears in the U.S.A. market and in particular in the S&P500, Dow Jones, Nasdaq and Russell 2000 indices. Furthermore, we see the volatility which was created by the Dot-com bubble and the financial crisis that have occurred in America and affected these four indices. | en |
| heal.academicPublisher | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.academicPublisherID | uoi | |
| heal.access | free | |
| heal.advisorName | Σίμος, Θεόδωρος | el |
| heal.bibliographicCitation | Βιβλιογραφία: σ. 28-29 | el |
| heal.classification | Financial market -- Volatility | |
| heal.committeeMemberName | Σίμος, Θεόδωρος | el |
| heal.committeeMemberName | Συμεωνίδης, Σπυρίδων | el |
| heal.committeeMemberName | Γκωλέτσης, Γεώργιος | el |
| heal.dateAvailable | 2020-06-02T08:00:50Z | |
| heal.fullTextAvailability | true | |
| heal.language | en | |
| heal.numberOfPages | 29 σ. | |
| heal.publicationDate | 2020 | |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Διοικητικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | masterThesis | |
| heal.type.el | Μεταπτυχιακή εργασία | el |
| heal.type.en | Master thesis | en |
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