Results 191 to 200 of about 772 (205)

Multivariate Diagonal FIGARCH: Specification, Estimation and Application to Modelling Exchange Rates Volatility

SSRN Electronic Journal, 2001
This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum likelihood estimator for the parameters of the model is analyzed through Monte Carlo simulations and is found to perform satisfactorily. A trivariate specification is applied for modelling jointly the daily volatility of foreign exchange ...
Pafka, S, Mátyás, László
openaire   +2 more sources

An Improved FIGARCH Model with The Difference Operator (1-Vl)D

2023
Qunxing Pan, Peng Li, Xiuli Du
openaire   +1 more source

Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach

Journal of Real Estate Finance and Economics, 2021
Maria I Kyriakou, Apostolos Kiohos, Vassilios Babalos   +2 more
exaly  

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  

Bivariate FIGARCH and franctional cointegration

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

VaR estimation using FIGARCH models

2010
openaire   +1 more source

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

Global Business Review, 2019
exaly  

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

Journal of Empirical Finance, 2011
exaly