Multifractality of Deutschemark/US Dollar Exchange Rates [PDF]
This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity ...
Adlai Fisher +2 more
core
Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS
Humanities & Social Sciences CommunicationsIn the wake of the COVID-19 pandemic, global public debt has escalated, further intensified by ongoing geopolitical tensions. This paper explores the dynamic relationship between sovereign credit risk and exchange rate fluctuations through the innovative
Min Su +3 more
doaj +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
Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach [PDF]
Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe ...
Claudio Morana, Richard T. Baille
core
The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
europepmc +1 more source
Central bank intervention and overnight uncovered interest rate parity [PDF]
This paper considers the impact of U.S. and German central bank intervention on the risk premium in forward foreign exchange markets.Foreign exchange - Law and ...
Richard T. Baillie, William P. Osterberg
core
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model [PDF]
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect.
Bent Jesper Christensen +2 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
Multifractality: Theory and Evidence an Application to the French Stock Market [PDF]
This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the ...
Jérôme Fillol
core
Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
RisksModelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial.
Kisswell Basira +4 more
doaj +1 more source