International Scholarly Research Notices, Volume 2014, Issue 1, 2014., 2014 The mass and energy‐capital conservation equations are employed to study the time evolution of mass and price of nonrenewable energy resources, extracted and sold to the market, in case of no‐accumulation and no‐depletion, that is, when the resources are extracted and sold to the market at the same mass flow rate.
Fabio Gori, K. Abhary, Y. Demirel
wiley +1 more source
Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
, 2007 We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Figuerola-Ferretti, Isabel +1 more
core +1 more source
Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014 This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia +3 more
doaj
THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES [PDF]
Annals of the University of Oradea: Economic Science, 2014 We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and ...
Pece Andreea Maria +3 more
doaj
Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley +1 more source
Systemic Risk and Tail-Dependence Between Bitcoin and Selected Precious Metals [PDF]
Financial Markets, Institutions and RisksBitcoin and major precious metals are frequently discussed as hedges against equity drawdowns, inflation surprises, and policy uncertainty, which implicitly assumes a degree of functional equivalence in their risk behavior.
Keorapetse LEBALLO, Jules Clement MBA
doaj +1 more source
Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series [PDF]
فصلنامه پژوهشهای اقتصادی ایران, 2011 Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this ...
Gholamreza Keshavarz Haddad +2 more
doaj
PERAMALAN DATA RUNTUN WAKTU DENGAN PEMODELAN ARFIMA-FIGARCH [PDF]
, 2009 Pemodelan Autoregressive Fractional Integrated Moving Average – Fractional Integrated Generalized Autoregressive Conditional Heteroskedastic (ARFIMA-FIGARCH) adalah salah satu model peramalan dimana data time series mempunyai memori jangka panjang dengan
Selvi Affriani, -
core
Moving Average Market Timing in European Energy Markets: Production Versus Emissions
Energies, 2018 This paper searches for stochastic trends and returns predictability in key energy asset markets in Europe over the last decade. The financial assets include Intercontinental Exchange Futures Europe (ICE-ECX) carbon emission allowances (the main driver ...
Chia-Lin Chang +3 more
doaj +1 more source
Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
doaj