Results 131 to 140 of about 772 (205)

Commonality in the LME Aluminium and Copper Volatility Processes through a FIGARCH lens [PDF]

, 2008
Artículos en revistasNo procedeDynamic representation of spot and three-month aluminum and copper volatilities is considered. Aluminum and copper are the two most important metals traded in the London Metal Exchange.
Figuerola Ferretti Garrigues, Isabel Catalina, Gilbert, Christopher L.   +1 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

Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models [PDF]

, 2012
Recently, Donaldson and Kamstra (1997) proposed a class of NN-GARCH models which are extended to a class of NN-GARCH family by Bildirici and Ersin (2009).
Bildirici, Melike, Ersin, Özgür
core  

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, Saba I, Supriani I, Rabbani MR.   +3 more
europepmc   +1 more source

Assessing Parameter Stability of FIGARCH Models for Selected Currency Pairs: A Nyblom Test Approach

         This study examines the stability of FIGARCH model parameters for four major currency pairs: Euro-USD, GBP-USD, INR-USD, and JPY-USD, utilizing the Nyblom stability test. By analyzing daily exchange rate data, we estimate FIGARCH models for each currency pair and evaluate the parameter stability to determine the models’ reliability and ...
Sanjay Kumar, Nand Kumar
openaire   +1 more source

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

Equilibrium bifurcation and extreme risk in the EU carbon futures market. [PDF]

Heliyon
Mi J, Yang X, Li J, Yang Z.
europepmc   +1 more source

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