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
core
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.
europepmc +1 more source
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
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
core
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
Is Bitcoin's Carbon Footprint Persistent? Multifractal Evidence and Policy Implications. [PDF]
Entropy (Basel), 2022 Ghosh B, Bouri E.
europepmc +1 more source
Long Memory in the Turkish Stock Market Return and Volatility [PDF]
This paper examines the dual long memory property of the Turkish stock market. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatility.
Erdost Torun, Adnan Kasman
core
Testing for long memory in volatility in the Indian Forex market [PDF]
, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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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
Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
europepmc +1 more source