Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
europepmc +1 more source
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source
Türkiye hisse senedi piyasası getiri ve oynaklığındaki uzun dönem bağımlılık için ampirik bir analiz [PDF]
, 2014 Çalışma ARFIMA-FIGARCH modelleri yardımıyla Türkiye hisse senedi piyasası getirilerinde ikili uzun hafıza özelliğinin varlığını incelemekte dolayısıyla zayıf formda etkin piyasa hipotezini test etmektedir. Bu amaçla kullanılan veri 2010-2013 dönemi Borsa
Balıbey, Mesut, Türkyılmaz, Serpil
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Is Bitcoin's Carbon Footprint Persistent? Multifractal Evidence and Policy Implications. [PDF]
Entropy (Basel), 2022 Ghosh B, Bouri E.
europepmc +1 more source
, 2002 This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student-
Beine, M. +8 more
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Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch
, 2016 O objetivo principal deste estudo é investigar a dependência de longo prazo da inflação brasileira, descrevendo-a como um processo fracionariamente integrado tanto na média quanto na variância.
Marques, Andre M. +1 more
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Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
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Bivariate error correction FIGARCH and FIAPARCH models on the Australian All Ordinaries Index and its SPI futures [PDF]
In this paper we extend the univariate FIGARCH and FIAPARCH models to a bivariate framework. We estimate bivariate error correction FIGARCH and FIAPARCH models between the All Ordinaries Index and its SPI futures using constant correlation and diagonal ...
Jonathan Dark
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The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. [PDF]
Q Rev Econ Finance, 2022 Caporale GM, Gil-Alana LA, Poza C.
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International Tourist Arrivals In Thailand: Forecasting With Arfima-Figarch Approach
Forecasting is an essential analytical tool for tourism policy and planning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
Prasert Chaitip +5 more
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