Results 11 to 20 of about 989 (203)
Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
doaj +2 more sources
INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
doaj +2 more sources
INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
doaj +2 more sources
Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model
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
Multivariate FIGARCH and long memory process: evidence of oil price markets [PDF]
Management Science Letters, 2015 Oil price markets can benefit from a better considerate of how shocks can affect volatility through time. This study assesses the impact of structural changes and outliers on volatility persistence of two crude oil markets WTI and Brent oil price between
Nadhem Selmi , Nejib Hachicha
doaj +2 more sources
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
Measuring persistence in stock market volatility using the FIGARCH approach
Physica A: Statistical Mechanics and its Applications, 2016 WOS:000337854700018 (Nº de Acesso Web of Science)This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model.
Bentes, S. R.
core +3 more sources
Negative return volume relationship in Asian stock markets: FIGARCH-Copula approach
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 ...
J. Hao +5 more
core +3 more sources
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 ...
Turkyilmaz, Serpil, Balibey, Mesut
core +5 more sources
Exchange rate volatility modeling: ARIMAX-FIGARCH with wavelet-based outlier detection for USD/PEN
Frontiers in Applied Mathematics and StatisticsIntroductionExchange rate volatility in partially dollarized emerging economies poses persistent challenges for financial risk management and monetary policy.
Wilfredo Bazán-Ramírez +6 more
doaj +2 more sources