Results 41 to 50 of about 170 (137)

Investigating the Dynamic Correlation of the Turkish Stock Market With Conventional Financial Assets and Digital Currencies

Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.
Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley   +1 more source

Horizon- and Regime-Dependent Performance of GARCH-Type Models: Evidence from Volatility Forecasting in a Frontier Market

International Journal of Financial Studies
In frontier markets, financial volatility exhibits long-memory properties and regime-dependent asymmetries that standard linear models do not capture. This leads to inaccuracies in forecasting risk when a single model is applied across regimes.
Abraham Kisembe Wawire, Christine Nanjala Simiyu, Munene Laiboni, Rogers Ochenge   +3 more
doaj   +1 more source

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

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.
ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley   +1 more source

Spatial and spatiotemporal volatility models: A review

Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.
Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto, Osman Doğan, Süleyman Taşpınar, Wolfgang Schmid, Anil K. Bera   +4 more
wiley   +1 more source

Modelling Volatility Cycles: The MF2‐GARCH Model

Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.
ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley   +1 more source

Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension

Journal of Applied Econometrics, Volume 39, Issue 7, Page 1403-1407, November/December 2024.
Summary We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008 ...
Akram Shavkatovich Hasanov, Robert Brooks, Sirojiddin Abrorov, Aktam Usmanovich Burkhanov   +3 more
wiley   +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  

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  

THE LONG MEMORY BEHAVIOR IN TIME-VARYING BETA: AN EMPIRICAL APPLICATION ON BIST

SDÜ Vizyoner Dergisi, 2020
The study aims to investigate the long memory behavior in time-varying beta, a systematic risk indicator, in İstanbul Stock Exchange (BIST) sub-indices. Using the data regarding BIST national indices, sub-indices and two-year benchmark bond interest rate
İsmail Çelik, Hüseyin Keskin
doaj   +1 more source