Results 111 to 120 of about 2,268 (179)

Modelling Long Memory in REITs [PDF]

One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non- REIT ...
John Cotter
core  

Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]

Entropy (Basel), 2021
Kazakevičius R, Kononovicius A, Kaulakys B, Gontis V.   +3 more
europepmc   +1 more source

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
core  

How to Promote the Performance of Parametric Volatility Forecasts in the Stock Market? A Neural Networks Approach. [PDF]

Entropy (Basel), 2021
Su JB.
europepmc   +1 more source

Commonality in the LME aluminium and copper volatility processes through a Figarch lens [PDF]

We consider dynamic representation of spot and three month aluminium and copper volatilities. These are the two most important metals traded in the London Metal Exchange (LME).
Christopher L. Gilbert, Isabel Figuerola-Ferretti   +1 more
core  

AI companies' strategies with traditional vs. digital assets amid geopolitical and banking crises. [PDF]

Heliyon
Dammak W, Fakhfekh M, Alnafisah H, Jeribi A.   +3 more
europepmc   +1 more source

Why Do Big Data and Machine Learning Entail the Fractional Dynamics? [PDF]

Entropy (Basel), 2021
Niu H, Chen Y, West BJ.
europepmc   +1 more source

Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]

This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core  

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source