Results 111 to 120 of about 2,079 (206)

"Modelling Long Memory Volatility in Agricultural Commodity Futures Returns" [PDF]

This paper estimates the long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, pork, cocoa, coffee, cotton ...
Chia-Lin Chang, Michael McAleer, Roengchai Tansuchat   +2 more
core   +3 more sources

Pemodelan dan Peramalan Volatilitas Memori Panjang pada Return Saham ANTM Studi Komparatif Model GARCH dan FIGARCH

Lattice Journal : Journal of Mathematics Education and Applied
This 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, Ferra Yanuar, Dodi Devianto, null Maiyastri   +3 more
openaire   +1 more source

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

Fintech in islamic finance literature: A review. [PDF]

Heliyon, 2022
Alshater MM, Saba I, Supriani I, Rabbani MR.   +3 more
europepmc   +1 more source

Long Memory in LME Volatility through the ARFIMA and FIGARCH Model

Korean Journal of Financial Engineering, 2016
null Jaehwan Park, null 김현숙
openaire   +1 more source

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.
openaire   +1 more source

The nexus between black and digital gold: evidence from US markets. [PDF]

Ann Oper Res, 2021
Huynh TLD, Ahmed R, Nasir MA, Shahbaz M, Huynh NQA.   +4 more
europepmc   +1 more source

Understanding the Nature of the Long-Range Memory Phenomenon in Socioeconomic Systems. [PDF]

Entropy (Basel), 2021
Kazakevičius R, Kononovicius A, Kaulakys B, Gontis V.   +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  

AI companies' strategies with traditional vs. digital assets amid geopolitical and banking crises. [PDF]

Heliyon
Dammak W, Fakhfekh M, Alnafisah H, Jeribi A.   +3 more
europepmc   +1 more source