Results 11 to 20 of about 772 (205)
Commonality in the LME aluminum and copper volatility processes through a FIGARCH lens [PDF]
Journal of Futures Markets, 2008 AbstractDynamic 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. They share common business cycle factors and are traded under identical contract specifications.
Figuerola Ferretti Garrigues, Isabel Catalina +1 more
core +8 more sources
Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model [PDF]
East Asian Economic Review, 2011 This paper explores the issue of structural breaks and long memory property in the conditional variance process of the Korean exchange rates. To analyze the above in detail, this paper examines the dynamics of the structural breaks and the long memory in
Young Wook Han
doaj +2 more sources
Contagion in major CDS markets for the post Global Financial Crisis: A multivariate AR-FIGARCH-cDCC approach [PDF]
Argomenti: Rivista di Economia, Cultura e Ricerca Sociale, 2020 We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the ...
Konstantinos Tsiaras, Theodore Simos
doaj +2 more sources
Negative Return-Volume Relationship in Asian Stock Markets: Figarch-Copula Approach [PDF]
Eurasian Journal of Economics and Finance, 2014 We explore the potential dependence among different Asian stock markets, using several different statistical models. Extreme return-volume dependence in Hong Kong Seng Index, Bombay Stock Exchange, Indonesia Composite Index and Bursa Malaysia has been examined by using FIGARCH-Copula and GARCH-Copula approach.
M. Naeem, J. Hao, LISEO, Brunero
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Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models [PDF]
International Journal of Economics and Financial Issues, 2014 This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student-t and GED distribution.
TURKYILMAZ, Serpil, BALIBEY, Mesut
openaire +4 more sources
İzmir İktisat Dergisi, 2023 Hisse senedi piyaysasında fiyat oluşurken menkul kıymete ilişkin tüm bilgiler, fiyat oluşumunu etkilemektedir. Hisse senedi piyasalarında uzun hafızanın varlığı, ilgili piyasaların zayıf formda etkin olmadığını göstermektedir. Bu çalışmada, 01/09/2008-30/
Savaş Tarkun
doaj +1 more source
Analytic Hessian matrices and the computation of FIGARCH estimates [PDF]
Statistical Methods & Applications, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
LOMBARDI M., GALLO, GIAMPIERO MARIA
openaire +3 more sources
Modelling High-Frequency Volatility with Three-State FIGARCH Models [PDF]
SSRN Electronic Journal, 2013 Abstract Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) models have enjoyed considerable popularity over the past decade because of their ability to capture the features of volatility clustering and long-memory persistence.
Shi, Yanlin, Ho, Kin-Yip
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Direct versus iterated multiperiod Value‐at‐Risk forecasts
Journal of Economic Surveys, Volume 37, Issue 3, Page 915-949, July 2023., 2023 Abstract Since the late nineties, the Basel Accords require financial institutions to measure their financial risk by reporting daily predictions of Value at Risk (VaR) based on 10‐day returns. However, a vast part of the related literature deals with VaR predictions based on one‐period returns.
Esther Ruiz, María Rosa Nieto
wiley +1 more source
Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
doaj +1 more source