Using ARFIMA and FIGARCH methods in Markowitz mean variance portfolio optimization: An application on ISE-30 index stocks [PDF]
, 2013 Finans yazınında, Markowitz ortalama varyans portföy optimizasyon modeli için bazı problemler söz konusudur. Bu problemlerden biri, optimizasyon hesaplamalarında kullanılan hisse senedi beklenen getirilerin nasıl belirleneceğidir.
Pekkaya, Mehmet, Albayrak, Ali Sait
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PENERAPAN MODEL ARFIMA-FIAPARCH UNTUK PERAMALAN HARGA SAHAM (Studi Kasus Harga Saham PT Bank Rakyat Indonesia Tbk.) [PDF]
, 2021 Berinvestasi saham dihadapkan dengan risiko tinggi karena harga saham yang cenderung fluktuatif menyebabkan adanya ketidakkonsistenan pada volatilitas dan heteroskedastisitas pada data.
Delyana Meilawati Krismonia, -
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ARFIMA-FIGARCH, HYGARCH and FIAPARCH models of exchange rates [PDF]
, 2018 In this paper we apply the parametric approach to testing for dual long memory in daily exchange rate returns (first differences of daily log exchange rates) of twelve currencies against USD (4310 observations).
Zhelyazkova, Slaveya; University of Economics-Varna
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Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
RisksModelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial.
Kisswell Basira +4 more
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Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]
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).
Christopher L. Gilbert +1 more
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AxiomsWe present the first application of the Multifractal Model of Asset Returns (MMAR) to an implied volatility index, using 36 years of daily CBOE VIX observations spanning four economic cycles. Three general conclusions emerge. First, implied volatility is
Georgy Urumov, Panagiotis Chountas
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Nelson And Plosser Revisited: Evidence From Fractional Arima Models [PDF]
, 2004 In this paper fractionally integrated ARIMA (ARFIMA) models are estimated using an extended version of Nelson and Plosser’s (1982) dataset. The analysis employs Sowell’s (1992) maximum likelihood procedure.
Caporale, GM, Gil-Alana, LA
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The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. [PDF]
Chaos Solitons Fractals, 2021 Lahmiri S, Bekiros S.
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Використання мови R для ідентифікації параметрів ARFIMA-моделі [PDF]
, 2016 This work is devoted to the identification of the parameters of ARFIMA(p,d,q) time series model. The algorithm of the parameters estimation using R programming language functions from fracdiff and forecast packages is discussed in ...
Рабик, Василь Григорович +2 more
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Long term hedging of the Australian All Ordinaries Index using a bivariate error correction FIGARCH model [PDF]
This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index.
Jonathan Dark
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