Results 101 to 110 of about 772 (205)
Economies, 2019 The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of ...
Manel Youssef, Khaled Mokni
doaj +1 more source
The impact of foreign exchange interventions: new evidence from FIGARCH estimations [PDF]
, 1999 info:eu-repo/semantics ...
Beine, Michel +2 more
openaire +1 more source
Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
International Journal of Financial Studies, 2016 In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and
Samet Günay
doaj +1 more source
FIGARCH Processes: Estimation on volatility in exchange rates of Per´u
Pesquimat, 2019 This research presents a theoretical review of the structure and applica-tion of long memory nature models that combine characteristics of the fractionally integrated processes with the classic GARCH models, thus obtaining the autoregres-sive models with fractionally integrated conditioned heterocedasticity (FIGARCH) which Through the cumulative ...
Briones Zúñiga, José Luis +1 more
openaire +1 more source
East Asian Economic Review, 2014 This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09.
Young Wook Han
doaj +1 more source
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach [PDF]
This paper introduces a new long memory volatility process, denoted by adaptive FIGARCH, or A-FIGARCH , which is designed to account for both long memory and structural change in the conditional variance process.
Morana, Claudio, Baillie, Richard T.
core
Testing for long memory in ISE using Arfima-Figarch model and structural break test [PDF]
, 2009 This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility ...
Cevik, Emrah Ismail +2 more
core
The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. [PDF]
Chaos Solitons Fractals, 2021 Lahmiri S, Bekiros S.
europepmc +1 more source
Developing Exp-FIGARCH Hybrid Models for Time Series Modelling
Dutse Journal of Pure and Applied SciencesIn this paper, we introduced a new hybrid model namely Exponential Autoregressive-Fractional Integrated Generalized Autoregressive Conditional Heteroscedasticity (ExpAR-FIGARCH) model and study financial data. The Daily Nigeria All Share Stock Index that exhibit nonlinear, volatility and long memory effect were analyzed in the study.
Jibrin, Sanusi Alhaji +2 more
openaire +2 more sources
International Tourists’ Expenditures In Thailand: A Modelling Of The Arfima-Figarch Approach [PDF]
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