Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model [PDF]
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory in return volatility of Bollerslev and Mikkelsen (1996) by introducing a possible volatility-in-mean effect.
Bent Jesper Christensen +2 more
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Multifractality: Theory and Evidence an Application to the French Stock Market [PDF]
This article presents the basics of multifractal modelling and shows the multifractal properties of the French Stock Market (CAC40). Monte Carlo simulations prove that the Multifractal Model of Asset Returns (MMAR) is a better model to replicate the ...
Jérôme Fillol
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The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
europepmc +1 more source
Are realized volatility models good candidates for alternative Value at Risk prediction strategies? [PDF]
In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors.
Louzis, Dimitrios P. +2 more
core +1 more source
Rare earth and financial markets: Dynamics of return and volatility connectedness around the COVID-19 outbreak. [PDF]
Resour Policy, 2021 Song Y, Bouri E, Ghosh S, Kanjilal K.
europepmc +1 more source
Pricing of futures Bitcoin price under fractional volatility
, 2023 boughabi h, qalli ye.
europepmc +1 more source
The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. [PDF]
Q Rev Econ Finance, 2022 Caporale GM, Gil-Alana LA, Poza C.
europepmc +1 more source
Pseudo-Maximum Likelihood Estimation of ARCH(8) Models [PDF]
Strong consistency and asymptotic normality of the Gaussian pseudo-maximumlikelihood estimate of the parameters in a wide class of ARCH(8) processesare established.
Paolo Zaffaroni, Peter M Robinson
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Bivariate FIGARCH and Fractional Cointegration [PDF]
We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies.
Celso Brunetti, Christopher L. Gilbert
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Co-movements and spillovers of oil and renewable firms under extreme conditions: New evidence from negative WTI prices during COVID-19. [PDF]
Energy Econ, 2020 Corbet S, Goodell JW, Günay S.
europepmc +1 more source