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Publications by Arben Malaj

Long Memory Volatility Models in R: Application to a Regional Blue Chips Index

European Journal of Interdisciplinary Studies

English

How Can We Measure the VAT Fraud and Evasion? Case of Albania

European Journal of Economics and Business Studies

English

Related publications

Comparing Predictive Accuracy Under Long Memory, With an Application to Volatility Forecasting*

Journal of Financial Econometrics

English

Consequences for Option Pricing of a Long Memory in Volatility

SSRN Electronic Journal

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Distinguishing Short and Long Memory Volatility Specifications

Econometrics Journal

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Long Memory Persistence in the Factor of Implied Volatility Dynamics

SSRN Electronic Journal

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Long Memory Versus Structural Breaks in Modeling and Forecasting Realized Volatility

Journal of International Money and Finance

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Long Memory and Volatility Dynamics in the US Dollar Exchange Rate

Multinational Finance Journal

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Long Memory in Stock Market Volatility and the Volatility-In-Mean Effect: The FIEGARCH-M Model

SSRN Electronic Journal

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Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market

Open Journal of Social Sciences

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A Wavelet Analysis of Scaling Laws and Long-Memory in Stock Market Volatility

SSRN Electronic Journal

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