Work

Long memory in stock index futures markets: A value-at-risk approach

Year: 2005

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2005.10.017

Authors: Ta-Lun Tang, Shwu-Jane Shieh

Institution: National Chengchi University

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2018265400

FWCI: 5.693

Cites: 21

Cited by: 108

Related to: 10