Results 121 to 130 of about 989 (203)
The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
europepmc +1 more source
Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
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
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices [PDF]
Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency
Young-Wook Han +3 more
core
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.
europepmc +1 more source
International Tourists’ Expenditures In Thailand: A Modelling Of The 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). Secondary data was used to produce forecasts of international tourists’ expenditures in Thailand
Prasert Chaitip +5 more
core
This study investigates the forecasting efficacy of a hybrid AFIMA-FIGARCH model within a fractional integration framework for capturing dual long-memory dynamics: persistence in both returns (conditional mean) and volatility (conditional variance) of ...
Zorle Dum Deebom +2 more
core +1 more source
HY-A-PARCH: A stationary A-PARCH model with long memory [PDF]
The FI-A-PARCH process has been developed by Tse (1998) to model essential characteristics of financial market returns. However, due to the nonstationarity described by Níguez (2002) the process exhibits infinite conditional second moments and no ...
Schoffer, Olaf
core
Fintech in islamic finance literature: A review. [PDF]
Heliyon, 2022 Alshater MM +3 more
europepmc +1 more source
Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
This paper introduces the Smooth Transition version of FIGARCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function.
KIlIç, Rehim
core
Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
europepmc +1 more source