Modeling 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.
Claudio Morana, Richard T. Baillie
core
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models [PDF]
Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established.
Paolo Zaffaroni, Peter M Robinson
core
Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
europepmc +1 more source
The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
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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
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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The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. [PDF]
Q Rev Econ Finance, 2022 Caporale GM, Gil-Alana LA, Poza C.
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Pricing of options under different volatility models [PDF]
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects.
Herzberg, Markus, Sibbertsen, Philipp
core
Fintech in islamic finance literature: A review. [PDF]
Heliyon, 2022 Alshater MM +3 more
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Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
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