Results 121 to 130 of about 2,061 (206)

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

Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models [PDF]

This paper considers the persistence found in the volatility of many financial time series by means of a local Long Memory in Stochastic Volatility model and analyzes the performance of the Gaussian semiparametric or local Whittle estimator of the memory
Arteche González, Jesús María
core  

Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study [PDF]

Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH speci¯cation of Ding, Granger and Engle (1993). This paper analyzes the applicability of a
Christian Conrad, Menelaos Karanasos, Ning Zeng   +2 more
core  

High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. [PDF]

PLoS One
Kuang W.
europepmc   +1 more source

Why Do Big Data and Machine Learning Entail the Fractional Dynamics? [PDF]

Entropy (Basel), 2021
Niu H, Chen Y, West BJ.
europepmc   +1 more source

The Markov-switching multi-fractal model of asset returns: GMM estimation and linear forecasting of volatility [PDF]

Multi-fractal processes have recently been proposed as a new formalism for modelling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns
Lux, Thomas
core  

Comparing COVID-19 with the GFC: A shockwave analysis of currency markets. [PDF]

Res Int Bus Finance, 2021
Gunay S.
europepmc   +1 more source

Estimating Value-at-Risk for the Turkish Stock Index Futures in the Presence of Long Memory Volatility [PDF]

This paper examines the long memory properties for closing prices of the Turkish stock index futures market using the FIGARCH(1,d,1) model with three different distributions : Normal, Student-t, and skewed Student-t.
Adnan Kasman
core  

Risk contagion of COVID-19 to oil prices: A Markov switching GARCH and PCA approach. [PDF]

PLoS One
Siddiqui N, Mohamad Hasim H.
europepmc   +1 more source