Results 41 to 50 of about 2,268 (179)

A new multivariate nonlinear model to handle the volatility transmission

South African Journal of Industrial Engineering, 2014
Price volatility of stocks is an important issue in stock markets. It should also be taken into account that the stochastic nature of volatility affects decision-makers’ minds to a great extent. Therefore, predicting price volatility could help them make
Ebrahimi, Seyed Babak, Rouhiolyaee, Fahime   +1 more
doaj   +1 more source

Forecasting West Texas Intermediate Crude Oil Price: Stochastic Differential Approach [PDF]

مدلسازی اقتصادسنجی, 2018
Uncertainty in oil markets has led economic researchers to the use of stochastic processes. The purpose of this paper, is the use of stochastic differential models to predict the crude oil price of West Texas Intermediate (WTI) and compare the ...
ramin khochiani, younes nademi
doaj   +1 more source

Volatility and Return Transmission among Cement Industry Stock Prices: an Application of Multivariate FIGARCH Modeling in High Frequency Financial time Series [PDF]

فصلنامه پژوهش‌های اقتصادی ایران, 2011
Long memory in asset returns and volatilities is a new research area, both in theoretical and empirical modeling of high frequent financial time series. The most popular techniques of time series modeling with long memory is the ARFIMA-FIGARCH, but this ...
Gholamreza Keshavarz Haddad, Seyed Babak Ebrahimi, Akbar Jafar Abadi   +2 more
doaj  

Volatility forecasts: a continuous time model versus discrete time models [PDF]

, 2006
This paper compares empirically the forecasting performance of a continuous time stochastic volatility model with two volatility factors (SV2F) to a set of alternative models (GARCH, FIGARCH, HYGARCH, FIEGARCH and Component GARCH).
Veiga, Helena
core   +1 more source

A note on asymptotic inference for FIGARCH($p, d, q$) models [PDF]

Statistics and Its Interface, 2011
Parameters estimation for a FIGARCH(p, d, q )m odel is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FI- GARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong con- sistency and asymptotic normality of the quasi-maximum ...
Ngai Hang Chan, Chi Tim Ng
openaire   +1 more source

THE IMPACT OF THE FINANCIAL CRISIS ON LONG MEMORY: EVIDENCE FROM EUROPEAN BANKING INDICES [PDF]

Annals of the University of Oradea: Economic Science, 2014
We have analyzed the impact of the financial crisis on the existence of the long term dependency for European banking indices. By estimating Hurst Exponent, ARFIMA and FIGARCH models we found that major financial crisis such as, Mexican, Asian and ...
Pece Andreea Maria, Mihut Ioana Sorina, Oros Olivera Ecaterina,   +3 more
doaj  

Modeling long-term volatility memory dynamics in the Colombo Stock Exchange [PDF]

IIM Ranchi Journal of Management Studies
PurposeThis study examines the long-term volatility memory dynamics of the Colombo Stock Exchange by comparing the behaviors of the All Share Price Index (ASPI) and the S&P SL20 Index under recent economic scenarios.Design/methodology/approachThe paper ...
Mohamed Ismail Mohamed Riyath
doaj   +1 more source

Investigation of Fractal Market Hypothesis in Emerging Markets: Evidence from the MINT Stock Markets

Organizations and Markets in Emerging Economies, 2022
This study aims to investigate the market efficiency of emerging stock markets, namely the Mexico, Indonesia, Nigeria, and Turkey (MINT) stock markets based on the Fractal Market Hypothesis.
Yunus Karaömer
doaj   +1 more source

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
openaire   +1 more source

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate

East Asian Economic Review, 2016
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system.
Young Wook Han
doaj   +1 more source