Results 171 to 180 of about 2,339 (211)

Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries. [PDF]

Heliyon
Aliu F, Kučera J, Horák J.
europepmc   +1 more source

Asymmetric volatility in asset prices: An explanation with mental framing. [PDF]

Heliyon
Ormos M, Timotity D.
europepmc   +1 more source

Modelling long memory and risk premia in Latin American sovereign bond markets [PDF]

Alfonso Mendoza
core  

Pricing of Weather Options for Berlin Quoted on the Chicago Mercantile Exchange [PDF]

Juliusz Pres, Piotr Fiszeder
core  

How to Increase Accuracy of Volatility Forecasts Based on GARCH Models [PDF]

Piotr Fiszeder
core  

Volatility Dynamics of the Tokyo Stock Exchange: A Sectoral Analysis based on the Multivariate GARCH Approach [PDF]

Ka Cheng Tsui, Kin-Yip Ho
core  

Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach [PDF]

Journal of Economic Dynamics and Control, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Claudio Morana
exaly   +5 more sources

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A novel time-varying FIGARCH model for improving volatility predictions

Physica A: Statistical Mechanics and Its Applications, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xuehui Chen
exaly   +2 more sources

Modeling volatility with time-varying FIGARCH models

Economic Modelling, 2011
Abstract 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. The structural change is modeled by a logistic function allowing the intercept to vary over time.
Mustapha Belkhouja
exaly   +2 more sources

Measuring persistence in stock market volatility using the FIGARCH approach

Physica A: Statistical Mechanics and Its Applications, 2014
Abstract This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. To this end, a dataset encompassing the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P ...
Sónia R Bentes
exaly   +3 more sources