Results 101 to 110 of about 2,629 (114)
Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach [PDF]
, 2006 In this paper, given recent theoretical developments that inflation can exhibit long memory properties due to the output growth process, we propose a new class of bivariate processes to simultaneously investigate the dual long memory properties in the mean and the conditional variance of inflation and output growth series.
Mustafa Caglayan, Feng Jiang
openaire
Some of the next articles are maybe not open access.
Related searches:
Related searches:
Multidisciplinary Science Journal
In the context of an unstable international environment, the assessment of the state of stock market efficiency remains of paramount importance. For this reason, we intend to implement ARFIMA-FIGARCH modeling over the period from 2 January 2013 to 29 December 2023.
Youness Ait Oummou +2 more
openaire +1 more source
In the context of an unstable international environment, the assessment of the state of stock market efficiency remains of paramount importance. For this reason, we intend to implement ARFIMA-FIGARCH modeling over the period from 2 January 2013 to 29 December 2023.
Youness Ait Oummou +2 more
openaire +1 more source
A novel time-varying FIGARCH model for improving volatility predictions
Physica A: Statistical Mechanics and Its Applications, 2022Xuehui Chen, Xinru Zhang
exaly
Long Memory in Eastern European Financial Markets Returns
Economic Research-Ekonomska Istrazivanja, 2012Ciprian Necula
exaly
Modeling high-frequency volatility with three-state FIGARCH models
Economic Modelling, 2015Yanlin Shi
exaly
Bivariate FIGARCH and fractional cointegration
Journal of Empirical Finance, 2000Celso Brunetti
exaly
Modelling heavy tails and double long memory in North African stock market returns
Journal of North African Studies, 2012Adel Boubaker
exaly
Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model
Quantitative Finance, 2013Elyas Elyasiani
exaly