The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
europepmc +1 more source
International Tourists’ Expenditures In Thailand: A Modelling Of The 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). Secondary data was used to produce forecasts of international tourists’ expenditures in Thailand
Prasert Chaitip +5 more
core
Fintech in islamic finance literature: A review. [PDF]
Heliyon, 2022 Alshater MM +3 more
europepmc +1 more source
A Generalized ARFIMA Process with Markov-Switching Fractional Differencing Parameter [PDF]
We propose a general class of Markov-switching-ARFIMA processes in order to combine strands of long memory and Markov-switching literature. Although the coverage of this class of models is broad, we show that these models can be easily estimated with the
Wolfgang Härdle, Wen-Jen Tsay
core
This 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
core +1 more source
Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets
, 2009 This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) countries' stock market, using the ARFIMA, GPH, FIGARCH and HYGARCH models.
KASMAN, SAADET +2 more
core +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
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 of volatility measures in time series [PDF]
The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1)
Henryk Gurgul, Tomasz Wojtowicz
core
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