Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
doaj +2 more sources
Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch [PDF]
Estudos Economicos, 2009 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.
André M Marques +1 more
exaly +2 more sources
FUDMA Journal of SciencesThis study investigates the forecasting efficacy of a hybrid AFIMA-FIGARCH model within a fractional integration framework for capturing dual long-memory dynamics: persistence in both returns (conditional mean) and volatility (conditional variance) of ...
Zorle Dum Deebom +2 more
exaly +2 more sources
Applied Financial Economics, 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-
Christelle Lecourt +2 more
exaly +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
Testing for long memory in ISE using Arfima-Figarch model and structural break test [PDF]
, 2009 This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility ...
Cevik, Emrah Ismail +2 more
core +2 more sources
Long Memory at Wind Speed: a Time Series Analysis for Amasra Region [PDF]
, 2022 Son yıllarda rüzgâr enerjisinin yenilenebilir bir enerji kaynağı olarak yaygınlaşması ile birlikte rüzgâr hızının enerji üretimindeki ekonomik etkilerinin değerlendirilmesi de önem kazanmış ve enerji planlamalarında doğru rüzgâr hızı tahmini ve ...
Türkyılmaz, Serpil, Serpil TÜRKYILMAZ
core +1 more source
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
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
Kredi Temerrüt Takası Primlerinin Oynaklığında Uzun Hafıza ve Etkin Piyasa Hipotezi - Fraktal Piyasa Hipotezi Sınaması: Türkiye Örneği [PDF]
, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Çevik, Mustafa +3 more
core +2 more sources