The effect of green energy, global environmental indexes, and stock markets in predicting oil price crashes: Evidence from explainable machine learning. [PDF]
J Environ Manage, 2021 Ben Jabeur S, Khalfaoui R, Ben Arfi W.
europepmc +1 more source
long memory, inflation rate, inflation uncertainty, ARFIMA-FIGARCH, C22, E31, 长记忆性, 通货膨胀率, 通货膨胀不确定性, ARFIMA-FIGARCH,
Tingguo Zheng, Jinquan Liu, Jianli Sui
core +1 more source
The effect of COVID-19 pandemic on return-volume and return-volatility relationships in cryptocurrency markets. [PDF]
Chaos Solitons Fractals, 2022 Foroutan P, Lahmiri S.
europepmc +1 more source
Forecasting volatility in Asian financial markets: evidence from recursive and rolling window methods. [PDF]
SN Bus Econ, 2022 Sahiner M.
europepmc +1 more source
Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]
This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core
Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach [PDF]
Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe ...
Richard T. Baille, Claudio Morana
core
Stock Market Volatility and Return Analysis: A Systematic Literature Review. [PDF]
Entropy (Basel), 2020 Bhowmik R, Wang S.
europepmc +1 more source
Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]
, 2004 We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
core
Fractional Integration and Business Cycles Features [PDF]
We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well ...
Luis A. Gil-Alana, Bertrand Candelon
core
The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]
The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Marcin Zawada, Aneta Wlodarczyk
core