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
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How COVID-19 has affected stock market persistence? Evidence from the G7's. [PDF]
Physica A, 2021 Bentes SR.
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
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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
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
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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
Central bank intervention and overnight uncovered interest rate parity [PDF]
This paper considers the impact of U.S. and German central bank intervention on the risk premium in forward foreign exchange markets.Foreign exchange - Law and ...
Richard T. Baillie, William P. Osterberg
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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
The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]
The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Aneta Wlodarczyk, Marcin Zawada
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