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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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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, 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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Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
europepmc +1 more source
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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FX market volatility modelling: Can we use low-frequency data? [PDF]
Financ Res Lett, 2021 Lyócsa Š, Plíhal T, Výrost T.
europepmc +1 more source
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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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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Preliminary estimation of ARFIMA models
, 2000 In this article a new estimator for ARFIMA models is proposed.
CORDUAS, MARCELLA, Marcella Corduas
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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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