Results 31 to 40 of about 2,268 (179)
On the integrated behaviour of non-stationary volatility in stock markets [PDF]
, 2006 This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the ...
Andreia Dionisio +17 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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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
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Stochastic equilibrium of free trade under a FIGARCH volatility
, 2023 Abstract Free trade for some economists gains so much attention, the horrible thing is though when a nation doesn't knit relations with other countries because this would harm the future gains almost if land or property is rare: what i had tried to mention is the importance of free trade as far as consumption is concerned, if the national ...
openaire +1 more source
Fractional derivatives of random walks: Time series with long-time memory
, 2008 We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying autocorrelation ...
G. Samorodnitsky +10 more
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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
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A Hybrid LSTM Neural Network Approach for Modeling Periodical Long-Memory Characteristics in Financial Energy Index Time Series [PDF]
Mathematics and Modeling in FinanceForecasting financial market volatility has always been a major challenge in economics and financial engineering. In this study, a hybrid approach based on FIGARCH and PLM-GARCH models combined with Long Short-Term Memory (LSTM) neural networks is ...
Minou Yari +2 more
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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
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Frontiers in Applied Mathematics and StatisticsThis study addresses the limitations of the Kalman Filter (KF) by extending the application of the Unscented Kalman Filter (UKF) and the variational Bayes method (VBM) for estimating long-memory (LM) volatility models.
Kisswell Basira +2 more
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Does the Oil Market Volatility have Long Run Memory? [PDF]
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2011 This paper has examined the long memory of oil market volatility. For this purpose, the paper has employed different types of long run ARCH models including FIGARCH-BBM, FIGARCH-chung, FIEGARCH, FIAPARCH-BBM and FIAPARCH-chung and short run ones ...
Seed Rasekhi, Amir Khanalipour
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