Testing for long memory in volatility in the Indian Forex market [PDF]
Ekonomski Anali, 2014 This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013.
Kumar Anoop S.
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Comparing the accuracy of the model Meta heuristic and Econometric in forecasting of financial time series with long-term memory (Case Study, Stock Index of Cement Industry in Iran) [PDF]
تحقیقات مالی, 2011 Data with high frequency have a particular type of none stationary that is called fractional none stationary. This property causes the emergence of long-term memory in financial time series with high frequency. The existence of long-term memory in cement
Farnaz Barzinpour +3 more
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Stock-return volatility persistence over short and long range horizons: Some empirical evidences
Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, 2020 In this paper, we account for memory failure or otherwise in the daily evolution of stock return and volatility within the purview of short and long ranges based on the arrival of fundamental news.
Kolawole Subair, Ajibola Arewa
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Short‐run wavelet‐based covariance regimes for applied portfolio management
Journal of Forecasting, Volume 39, Issue 4, Page 642-660, July 2020., 2020 Abstract Decisions on ass et allocations are often determined by covariance estimates from historical market data. In this paper, we introduce a wavelet‐based portfolio algorithm, distinguishing between newly embedded news and long‐run information that has already been fully absorbed by the market.
Theo Berger, Ramazan Gençay
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How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market
Discrete Dynamics in Nature and Society, Volume 2020, Issue 1, 2020., 2020 Not only the fundamentals of supply and demand but also international oil prices are affected by nonfundamental indicators such as emergencies. With the development of big data technology, many unstructured and semistructured factors can be reflected through Internet information. Based on this, this paper proposes a HD‐based oil price forecasting model
Lu-Tao Zhao +4 more
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Modeling and Forecasting the Volatility of Eastern European Emerging Markets
East Asian Economic Review, 2009 This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting ...
Sang Hoon Kang , Seong-Min Yoon
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Gestão & Produção, 2012 Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões +3 more
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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
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Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2020 In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation ...
Ghlamreza Keshavarz-Haddad +1 more
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Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014 This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia +3 more
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