Results 11 to 20 of about 2,629 (114)
Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis [PDF]
SSRN Electronic Journal, 2014 Previous version available as DIW Berlin Discussion Paper No.
Caporale, GM, Skare, M
openaire +6 more sources
Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models [PDF]
International Journal of Economics and Financial Issues, 2014 This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student-t and GED distribution.
TURKYILMAZ, Serpil, BALIBEY, Mesut
core +5 more sources
An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
doaj +2 more sources
Modeling Markov Switching ARMA‐GARCH Neural Networks Models and an Application to Forecasting Stock Returns [PDF]
The Scientific World Journal, Volume 2014, Issue 1, 2014., 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS‐GARCH processes. The second purpose of the study is to augment the MS‐GARCH type models with artificial neural networks to benefit from the universal approximation properties to achieve ...
Melike Bildirici +4 more
wiley +2 more sources
Long memory mean and volatility models of platinum and palladium price return series under heavy tailed distributions. [PDF]
Springerplus, 2016 South Africa is a cornucopia of the platinum group metals particularly platinum and palladium. These metals have many unique physical and chemical characteristics which render them indispensable to technology and industry, the markets and the medical ...
Ranganai E, Kubheka SB.
europepmc +2 more sources
Direct versus iterated multiperiod Value‐at‐Risk forecasts
Journal of Economic Surveys, Volume 37, Issue 3, Page 915-949, July 2023., 2023 Abstract Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns.
Esther Ruiz, María Rosa Nieto
wiley +1 more source
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
WIREs Computational Statistics, Volume 14, Issue 5, September/October 2022., 2022 Moving 20‐day window dynamic risks of Alphabet Inc. (GOOGL), the Bank of America Corporation (BAC), and the Coca‐Cola Company (KO) during 26 December 2017 to 31 December 2020. Abstract Since the introduction of ARCH models close to 40 years ago, a wide range of models for volatility estimation and prediction have been developed and integrated into ...
Mike K. P. So +3 more
wiley +1 more source
Estimating the volatility of asset pricing factors
Journal of Forecasting, Volume 40, Issue 2, Page 269-278, March 2021., 2021 Abstract Models based on factors such as size or value are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid assets, this measure is difficult to obtain for asset pricing factors such as size and value ...
Janis Becker, Christian Leschinski
wiley +1 more source
Growth enterprise market in Hong Kong: Efficiency evolution and long memory in return and volatility [PDF]
Journal of Asian Business and Economic Studies, 2020 Purpose – Growth enterprise market (GEM) in Hong Kong is acknowledged as one of the world’s most successful examples of small and medium enterprise (SME) stock market.
Trang Nguyen +3 more
doaj +1 more source
Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets
Organizations and Markets in Emerging Economies, 2022 This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
doaj +1 more source