Results 61 to 70 of about 2,268 (179)
Long Memory and FIGARCH Models for Daily and High Frequency Commodity Prices [PDF]
Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency
Jeongseok Song +3 more
core
Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
Management Dynamics in the Knowledge Economy, 2022 The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main ...
Yassine BENZAI +2 more
doaj
VOLATILITY AND VAR FORECASTING FOR THE IBEX-35 STOCK-RETURN INDEX USING FIGARCH-TYPE PROCESSES AND DIFFERENT EVALUATION CRITERIA [PDF]
In this paper I analyze the relative performance of Gaussian and Student-t GARCH and FIGARCH type models for volatility and Value-at-Risk forecasting of daily stock-returns using data from the Spanish equity index IBEX-35.
Trino-Manuel Ñíguez
core
Bayesian analysis of FIAPARCH model: an application to São Paulo stock market [PDF]
, 2010 In this paper, we develop a Bayesian analysis of a FIAPARCH(p,d,q) model for parameter estimation and conditional variance prediction. In order to study the inference problem we use the Metropolis-Hastings algorithm.This methodology is illustrated in a ...
Pereira, Isabel, Safadi, Thelma
core +1 more source
Gestão & Produção, 2012 O presente estudo propõe uma análise comparativa de dez modelos de volatilidade para o cálculo do Value-at-Risk (VaR) para carteira teórica do Ibovespa, considerando a presença de memória longa na série temporal dos seus retornos diários.
Luiz Eduardo Gaio +1 more
doaj +1 more source
Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
core
Economies, 2019 The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of ...
Manel Youssef, Khaled Mokni
doaj +1 more source
How Risky Is the Value at Risk? [PDF]
The recent financial crisis has raised numerous questions about the accuracy of value-at-risk (VaR) as a tool to quantify extreme losses. In this paper we present empirical evidence from assessing the out-of-sample performance and robustness of VaR ...
Roxana Chiriac, Winfried Pohlmeier
core
Application of FIGARCH and EWMA Models on Stock Indices PX and BUX [PDF]
Acta Oeconomica Pragensia, 2011 Volatility of the financial time series belongs to the crucial estimated parameters in finance (e.g. in risk management, derivative pricing). It is well known, that volatility varies in time, so that new approaches of volatility modeling have appeared.
openaire +1 more source
Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
International Journal of Financial Studies, 2016 In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and
Samet Günay
doaj +1 more source