Results 81 to 90 of about 10,989,864 (91)

One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market

International Journal of Financial Services Management, 2010
Chaker Aloui
exaly  

Modelling heavy tails and double long memory in North African stock market returns

Journal of North African Studies, 2012
Adel Boubaker
exaly  

Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model

Quantitative Finance, 2013
Elyas Elyasiani
exaly  

Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

International Journal of Forecasting, 2009
Olivier Scaillet
exaly  

Arfima-Figarch vs. Arfima-Hygarch: Case Study ETF Returns of Emerging Asian Countries

Asian Journal of Finance and Accounting, 2014
exaly  

Empirical study of ARFIMA model based on fractional differencing

Physica A: Statistical Mechanics and Its Applications, 2007
exaly  

A Novel Prediction Method for ARFIMA Processes

2011
Huiqi Wang, Wangyong Lv
exaly  

Exploring Long-memory Dynamics in Nigerian Commercial Banks' Lending Rates: A Comparative Analysis of ARIMA, ARFIMA, and FIGARCH Models

Asian Journal of Probability and Statistics
exaly  

Assessing informational efficiency in largest African stock markets by modeling dual long memory: An ARFIMA-FIGARCH approach

Investment Management and Financial Innovations
exaly  

Modelling and forecasting long memory and volatility in Nigeria’s consumer price index using an ARFIMA-FIGARCH approach

Journal of Basics and Applied Sciences Research
exaly