Results 111 to 120 of about 2,061 (206)
Fintech in islamic finance literature: A review. [PDF]
Heliyon, 2022 Alshater MM +3 more
europepmc +1 more source
Lattice Journal : Journal of Mathematics Education and AppliedThis study aims to model and forecast the volatility of ANTM stock returns using FIGARCH and GARCH models to capture both short- and long-memory dynamics. Daily return data spanning from January 1, 2014, to December 31, 2024, were analyzed after stationarity confirmation via ADF test.
Elfa Rafulta +3 more
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Modelling Long Memory in REITs [PDF]
One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares the findings for a non- REIT ...
John Cotter
core
Long Memory in LME Volatility through the ARFIMA and FIGARCH Model
Korean Journal of Financial Engineering, 2016 null Jaehwan Park, null 김현숙
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The Econometric Analysis of Microscopic Simulation Models [PDF]
Microscopic simulation models are often evaluated based on visual inspection of the results.This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data.A related result is a methodology to compare ...
Donkers, A.C.D., Li, Y., Melenberg, B.
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İMKB`de etkin piyasa hipotezinin A-FIGARCH model ile testi: Sektör endeksleri üzerine uygulama
, 2021 Total Number of Pages:74The efficient market hypothesis suggest that prices of securities that are traded in the financial market are not affected by own past values. In this context, investors cannot gain excessive return by using past values of prices of securities in an efficient market.
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The nexus between black and digital gold: evidence from US markets. [PDF]
Ann Oper Res, 2021 Huynh TLD +4 more
europepmc +1 more source
Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]
Entropy (Basel), 2021 Kazakevičius R +3 more
europepmc +1 more source
Pricing of options under different volatility models [PDF]
In this paper we compare the price of an option with one year maturity of the German stock index DAX for several volatility models including long memory and leverage effects.
Herzberg, Markus, Sibbertsen, Philipp
core
How to Promote the Performance of Parametric Volatility Forecasts in the Stock Market? A Neural Networks Approach. [PDF]
Entropy (Basel), 2021 Su JB.
europepmc +1 more source