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
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
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
Volatility in CO2 EUAs returns: a FIGARCH approach [PDF]
, 2020 This paper models volatility in CO2 EUA’s emission returns using a FIGARCH approach. Our findings overwhelmingly suggest that conditional variance in CO2 emissions allowance returns is stationary and mean reverting, but with autocorrelations decaying at ...
Belbute, José
core
How COVID-19 has affected stock market persistence? Evidence from the G7's. [PDF]
Physica A, 2021 Bentes SR.
europepmc +1 more source
Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. [PDF]
Resour Policy, 2021 Chkili W, Ben Rejeb A, Arfaoui M.
europepmc +1 more source
Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
Istanbul Business ResearchThis study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short ...
Ahmet Galip Gençyürek
doaj +1 more source
Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the ...
Hossein Abbasinejad +1 more
doaj
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
Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: new evidence
, 2019 This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market ...
Bentes, S. R.
core +1 more source