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Long memory options: LM evidence and simulations

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Author Info
Jamdee, Sutthisit
Los, Cornelis A.

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Article provided by Elsevier in its journal Research in International Business and Finance.

Volume (Year): 21 (2007)
Issue (Month): 2 (June)
Pages: 260-280
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Handle: RePEc:eee:riibaf:v:21:y:2007:i:2:p:260-280

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344. [Downloadable!] (restricted)
  2. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June. [Downloadable!] (restricted)
  3. John Barkoulas & Christopher F. Baum, 1996. "Fractional Dynamics in Japanese Financial Time Series," Boston College Working Papers in Economics 334., Boston College Department of Economics. [Downloadable!]
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Los, Cornelis A. & Tungsong, Satjaporn, 2008. "Investment Model Uncertainty and Fair Pricing," MPRA Paper 8859, University Library of Munich, Germany. [Downloadable!]
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