Results 51 to 60 of about 772 (205)
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
doaj
Forecasting Carbon Prices: A Literature Review
Journal of Forecasting, Volume 45, Issue 2, Page 496-529, March 2026.ABSTRACT Carbon emissions trading is utilized by a growing number of states as a significant tool for addressing greenhouse gas emissions (GHG), global warming problem and the climate crisis. Accurate forecasting of carbon prices is essential for effective policy design and investment strategies in climate change mitigation.
Konstantinos Bisiotis +2 more
wiley +1 more source
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
International Journal of Financial StudiesIn 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 +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 +1 more
doaj +1 more source
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 +4 more
wiley +1 more source
Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach [PDF]
, 2023 This paper examines the non-linear integration between the real estate and stock market for a series of developed markets namely UK, Germany, Australia, Hong-Kong, Japan, Singapore and the US.
Kyriakou, Maria +3 more
core +1 more source
Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: new evidence [PDF]
, 2019 This study employs three volatility models of the GARCH family to examine the volatility behavior of gold returns. Much of the literature on this topic suggests that gold plays a fundamental role as a hedge and safe haven against adverse market ...
Bentes, S. R.
core +3 more sources
Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis [PDF]
SSRN Electronic Journal, 2014 Previous version available as DIW Berlin Discussion Paper No.
Caporale, GM, Skare, M
openaire +4 more sources