Results 31 to 40 of about 2,061 (206)

Contagion in major CDS markets for the post Global Financial Crisis: A multivariate AR-FIGARCH-cDCC approach

Argomenti: Rivista di Economia, Cultura e Ricerca Sociale, 2020
We explore the time-varying conditional correlations of the Sovereing CDS spread returns for Germany, France, China and Japan against USA. We employ a cDCC-AR-FIGARCH model in order to capture potential contagion effects between the markets during the ...
Konstantinos Tsiaras, Theodore Simos
doaj   +1 more source

Short‐run wavelet‐based covariance regimes for applied portfolio management

Journal of Forecasting, Volume 39, Issue 4, Page 642-660, July 2020., 2020
Abstract Decisions on ass et allocations are often determined by covariance estimates from historical market data. In this paper, we introduce a wavelet‐based portfolio algorithm, distinguishing between newly embedded news and long‐run information that has already been fully absorbed by the market.
Theo Berger, Ramazan Gençay
wiley   +1 more source

A note on asymptotic inference for FIGARCH($p, d, q$) models [PDF]

Statistics and Its Interface, 2011
Parameters estimation for a FIGARCH(p, d, q )m odel is studied in this paper. By constructing a compact parameter space Θ satisfying the non-negativity constraints for the FI- GARCH model, it is shown that the results of Robinson and Zaffaroni (2006) can be applied to establish the strong con- sistency and asymptotic normality of the quasi-maximum ...
Ngai Hang Chan, Chi Tim Ng
openaire   +1 more source

How Does Internet Information Affect Oil Price Fluctuations? Evidence from the Hot Degree of Market

Discrete Dynamics in Nature and Society, Volume 2020, Issue 1, 2020., 2020
Not only the fundamentals of supply and demand but also international oil prices are affected by nonfundamental indicators such as emergencies. With the development of big data technology, many unstructured and semistructured factors can be reflected through Internet information. Based on this, this paper proposes a HD‐based oil price forecasting model
Lu-Tao Zhao, Shi-Qiu Guo, Jing Miao, Ling-Yun He, Alfred Peris   +4 more
wiley   +1 more source

Volatility modelling and accurate minimun capital risk requirements : a comparison among several approaches [PDF]

, 2007
In this paper we estimate, for several investment horizons, minimum capital risk requirements for short and long positions, using the unconditional distribution of three daily indexes futures returns and a set of GARCH-type and stochastic volatility ...
Grané, Aurea, Veiga, Helena
core   +4 more sources

Uma avaliação da volatilidade dos preços da soja no mercado internacional com dados de alta frequência An evaluation of the volatility of soybeans prices in the international market using high frequency data

Gestão & Produção, 2012
Neste trabalho foram avaliados os ajustes de cinco modelos para previsão da variância, utilizando-se uma série de preços de soja, uma commodity negociada na bolsa de mercadorias de Chicago (CBOT), com dados de alta frequência. Os modelos utilizados foram
Mario Domingues Simões, Marcelo Cabus Klotzle, Antonio Carlos Figueiredo Pinto, Gabriel Levrini   +3 more
doaj   +1 more source

Modelling the High Frequency Exchange Rate in Romania with FIGARCH

Procedia Economics and Finance, 2014
AbstractRomanian forex market is an emerging market with periods of high volatility. The Romanian exchange rate was for a long term on a depreciating trend in nominal terms interrupted by short bursts of appreciation. The paper applies a FIGARCH model (Beine at al., 2002) for measuring the volatility of exchange rates in order to see how the forex ...
Pelinescu, Elena, Acatrinei, Marius
openaire   +1 more source

INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH [PDF]

Annals of the University of Petrosani: Economics, 2010
Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN, THANES SRIWICHAILAMPHAN,, SONGSAK SRIBOONCHITTA, CHUKIAT CHAIBOONSRI, JITTAPORN SRIBOONJIT, PRASERT CHAITIP   +5 more
doaj  

Enhanced state-space estimation of long-memory commodity volatility using the Unscented Kalman Filter and variational Bayes method for non-linear modeling

Frontiers in Applied Mathematics and Statistics
This study addresses the limitations of the Kalman Filter (KF) by extending the application of the Unscented Kalman Filter (UKF) and the variational Bayes method (VBM) for estimating long-memory (LM) volatility models.
Kisswell Basira, Lawrence Dhliwayo, Florance Matarise   +2 more
doaj   +1 more source

Does the Oil Market Volatility have Long Run Memory? [PDF]

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, 2011
This paper has examined the long memory of oil market volatility. For this purpose, the paper has employed different types of long run ARCH models including FIGARCH-BBM, FIGARCH-chung, FIEGARCH, FIAPARCH-BBM and FIAPARCH-chung and short run ones ...
Seed Rasekhi, Amir Khanalipour
doaj