Is Bitcoin's Carbon Footprint Persistent? Multifractal Evidence and Policy Implications. [PDF]
Entropy (Basel), 2022 Ghosh B, Bouri E.
europepmc +1 more source
Forecasting Corn Futures Volatility in the Presence of Long Memory, Seasonality and Structural Change [PDF]
Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily ...
Garcia, Philip, Wang, Xiaoyang
core +1 more source
The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. [PDF]
Chaos Solitons Fractals, 2021 Lahmiri S, Bekiros S.
europepmc +1 more source
Backtesting VaR Models: An Expected Shortfall Approach [PDF]
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets.
Stavros Degiannakis, Timotheos Angelidis
core
How COVID-19 has affected stock market persistence? Evidence from the G7's. [PDF]
Physica A, 2021 Bentes SR.
europepmc +1 more source
Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
europepmc +1 more source
Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach [PDF]
Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe ...
Claudio Morana, Richard T. Baille
core
Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. [PDF]
Resour Policy, 2021 Chkili W, Ben Rejeb A, Arfaoui M.
europepmc +1 more source
Multifractality of Deutschemark/US Dollar Exchange Rates [PDF]
This paper presents the first empirical investigation of the Multifractal Model of Asset Returns ("MMAR"). The MMAR, developed in Mandelbrot, Fisher, and Calvet (1997), is an alternative to ARCH-type representations for modelling temporal heterogeneity ...
Adlai Fisher +2 more
core
Short-term effect of COVID-19 pandemic on cryptocurrency markets: A DCC-GARCH model analysis. [PDF]
Heliyon, 2023 Ben-Ahmed K, Theiri S, Kasraoui N.
europepmc +1 more source