Results 191 to 200 of about 13,792,513 (203)

Bivariate FIGARCH and fractional cointegration

Journal of Empirical Finance, 2000
Celso Brunetti
exaly  

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

Physica A: Statistical Mechanics and Its Applications, 2015
Sonia Bentes
exaly  

Modelling the impact of long-range dependence and heteroscedasticity on economic growth of Nigeria using TAR-FIGARCH model

This research work is based on modelling the impact of long-range dependence, heteroscedasticity and regime switching in the economic growth of Nigeria using TAR-FIGARCH model on account to capture long-term memory persistence, changing variability, and identify different growth regime in the economic growth of Nigeria respectively.
Abdurrahman, Huzaifa, Ibrahim, Auwalu, Ado Osi, Abdulhameed   +2 more
openaire   +1 more source

Measuring persistence in stock market volatility using the FIGARCH approach

Physica A: Statistical Mechanics and Its Applications, 2014
Sonia Bentes
exaly  

Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations

Journal of International Money and Finance, 2002
Christelle Lecourt, Michel Beine, Agnes Bénassy-Quéré   +2 more
exaly  

Forecasting Asset Returns with Sentiment-Enhanced FIGARCH Models

openaire   +1 more source

VaR estimation using FIGARCH models

2010
openaire   +1 more source

Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model

Journal of Empirical Finance, 2011
exaly  

Financial Stress Transmission from Sovereign Credit Market to Financial Market: A Multivariate FIGARCH-DCC Approach

Global Business Review, 2019
exaly  

Interrelationships among the Taiwanese, Japanese and Korean TFT-LCD panel industry stock market indexes: An application of the trivariate FIEC–FIGARCH model

Economic Modelling, 2012
exaly