Results 1 to 10 of about 149 (118)
Modelling time-varying volatility using GARCH models: evidence from the Indian stock market [version 2; peer review: 2 approved] [PDF]
F1000Research, 2022 Background: In this study, we examined the volatility of the Indian stock market from 2008 to 2021. Owing to the financial crisis, volatility forecasting of the Indian stock market has become crucial for economic and financial analysts.
Tarunpreet Kaur +3 more
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Is Bitcoin’s Carbon Footprint Persistent? Multifractal Evidence and Policy Implications [PDF]
Entropy, 2022 The Bitcoin mining process is energy intensive, which can hamper the much-desired ecological balance. Given that the persistence of high levels of energy consumption of Bitcoin could have permanent policy implications, we examine the presence of long ...
Bikramaditya Ghosh, Elie Bouri
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A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model
UMYU Scientifica Journal, 2023 Long memory is a phenomenon in time series analysis that is exhibited by a slow decay of the autocorrelation function. It has been observed that the presence of long memory in both mean and volatility can complicate model fitting and compromise ...
A G Umar, H G Dikko, J Garba, M Tasi’u
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İzmir İktisat Dergisi, 2023 Hisse senedi piyaysasında fiyat oluşurken menkul kıymete ilişkin tüm bilgiler, fiyat oluşumunu etkilemektedir. Hisse senedi piyasalarında uzun hafızanın varlığı, ilgili piyasaların zayıf formda etkin olmadığını göstermektedir. Bu çalışmada, 01/09/2008-30/
Savaş Tarkun
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Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
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Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2023 The act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of ...
Santosh KUMAR +4 more
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An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
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سیستم سبدگردان خودکار با استفاده از ترکیب مدلهای پیشبینی تلاطم و مبانی تحلیل تکنیکال [PDF]
راهبرد مدیریت مالی, 2019 یکی از مواردی که درزمینهی خریدوفروش سهام کمتر موردتوجه قرار گرفتهشده، ارائه مدلی خودکار جهت تشکیل سبد سرمایهگذاری بوده که در طول زمان بهصورت پویا عمل کرده و برحسب شرایط بازار اقدام به تصمیمگیری نماید.
سید حجت وکیلی +2 more
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Financial Uncertainty from a Dual Shock at Global Level–Insights from Kuwait
International Journal of Financial Studies, 2022 Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects
Talal A. N. M. S. Alotaibi +1 more
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