Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano
Cuadernos de Economía, 2008 El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su ...
Gallón Gómez Santiago +2 more
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The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
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Modeling volatility with time-varying FIGARCH models
This paper puts the light on a new class of time-varying FIGARCH or TV-FIGARCH processes to model the volatility. This new model has the feature to account for the long memory and the structural change in the conditional variance process.
Belkhouja, Mustapha, Boutahary, Mohamed
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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
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International Tourist Arrivals In Thailand: Forecasting With Arfima-Figarch Approach
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).
Prasert Chaitip +5 more
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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
Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. [PDF]
Resour Policy, 2021 Song Y, Bouri E, Ghosh S, Kanjilal K.
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ARFIMA-FIGARCH, HYGARCH and FIAPARCH models of exchange rates [PDF]
, 2018 In this paper we apply the parametric approach to testing for dual long memory in daily exchange rate returns (first differences of daily log exchange rates) of twelve currencies against USD (4310 observations).
Zhelyazkova, Slaveya; University of Economics-Varna
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Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
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Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. [PDF]
Energy Econ, 2020 Corbet S, Goodell JW, Günay S.
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