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RePEcDerivatives & Volatility

Long Memory and Fractality in Volatility Indices

A study of nine volatility indices reveals evidence of long memory and fractality, providing new insights for investment decisions and trading strategies.

Featured in No. 7 on 12 Jul 2023 ·

Released
26 Sep 2022
First featured
No. 7 · 12 Jul 2023
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
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Identifier
RePEc:hin:complx:6728432

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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