Long Memory Features in Return and Volatility of the Malaysian Stock Market [PDF]
This study aims to investigate the existence of long memory in the Malaysian stock market utilizing daily stock price index from the period 1998:09 to 2009:12.
Mohammad Tariqul Islam Khan +1 more
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Stock market volatility simulation with the LSTM neural network
Вестник Пермского университета: Серия ЭкономикаIntroduction. Stock market volatility simulation and forecast are relevant issues which could contribute into lower risks and higher revenues of the market transactions.
Dmitry Aleksandrovich Patlasov +1 more
doaj +1 more source
Reexamining the linkages between inflation and output growth: A bivariate ARFIMA-FIGARCH approach [PDF]
In this paper, given recent theoretical developments that inflation can exhibit long memory properties due to the output growth process, we propose a new class of bivariate processes to simultaneously investigate the dual long memory properties in the ...
Feng Jiang, Mustafa Caglayan
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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.
Adnan Kasman, Erdost Torun
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Time Analysis of an Emergent Infection Spread Among Healthcare Workers: Lessons Learned from Early Wave of SARS-CoV-2. [PDF]
Int J Gen Med, 2022 Leme PAF +8 more
europepmc +1 more source
Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
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Model-based stationarity filtering of long-term memory data applied to resting-state blood-oxygen-level-dependent signal. [PDF]
PLoS One, 2022 Bansal IR +4 more
europepmc +1 more source
"Realized Volatility Risk" [PDF]
In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in ...
David E. Allen +2 more
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Sèries temporals amb memòria llarga: models ARFIMA
, 2023 Treballs Finals de Grau de Matemàtiques, Facultat de Matemàtiques, Universitat de Barcelona, Any: 2023 , Director: Josep Vives i Santa ...
openaire +1 more source
Predicción mediante modelos AFIRMA y FOU de energía afluente
Memoria Investigaciones en Ingeniería, 2017 En este trabajo se estudian predicciones a partir de modelos ARFIMA y FOU para la serie de datos semanales de energía afluente generada por las represas hidroeléctricas de Uruguay entre 1909 y 2012. Se describe la serie de datos, y mediante la estimación
Juan Kalemkerian
doaj