Results 191 to 200 of about 989 (203)

Modeling high-frequency volatility with three-state FIGARCH models

Economic Modelling, 2015
Yanlin Shi
exaly  

Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model

Quantitative Finance, 2013
Elyas Elyasiani
exaly  

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

Physica A: Statistical Mechanics and Its Applications, 2015
Sonia Bentes
exaly  

Measuring persistence in stock market volatility using the FIGARCH approach

Physica A: Statistical Mechanics and Its Applications, 2014
Sonia Bentes
exaly  

Bivariate FIGARCH and franctional cointegration

1999
Brunetti, C., Gilbert, C.L.
openaire   +1 more source

Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach

Global Business Review, 2019
exaly  

VaR estimation using FIGARCH models

2010
openaire   +1 more source

Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model

Journal of Empirical Finance, 2011
exaly  

Forecasting Asset Returns with Sentiment-Enhanced FIGARCH Models

openaire   +1 more source

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

Multinational Finance Journal, 2000
exaly