Results 11 to 20 of about 2,339 (211)
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
Modelling the High Frequency Exchange Rate in Romania with FIGARCH
Procedia Economics and Finance, 2014 AbstractRomanian forex market is an emerging market with periods of high volatility. The Romanian exchange rate was for a long term on a depreciating trend in nominal terms interrupted by short bursts of appreciation. The paper applies a FIGARCH model (Beine at al., 2002) for measuring the volatility of exchange rates in order to see how the forex ...
Pelinescu, Elena, Acatrinei, Marius
exaly +2 more sources
Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns [PDF]
The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
doaj +2 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
openaire +3 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
Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
doaj +1 more source
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
Volatility and dynamic dependence modeling: Review, applications, and financial risk management
WIREs Computational Statistics, Volume 14, Issue 5, September/October 2022., 2022 Moving 20‐day window dynamic risks of Alphabet Inc. (GOOGL), the Bank of America Corporation (BAC), and the Coca‐Cola Company (KO) during 26 December 2017 to 31 December 2020. Abstract Since the introduction of ARCH models close to 40 years ago, a wide range of models for volatility estimation and prediction have been developed and integrated into ...
Mike K. P. So +3 more
wiley +1 more source