New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model. [PDF]
Heliyon, 2023 Xiao M, Tao Z, Gu Z, Li Z, Chen X.
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Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
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Bivariate FIGARCH and Fractional Cointegration [PDF]
We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies.
Christopher L. Gilbert, Celso Brunetti
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Dynamic linkages and determinants of sovereign CDS and exchange rates: evidence from G7 and BRICS
Humanities & Social Sciences CommunicationsIn the wake of the COVID-19 pandemic, global public debt has escalated, further intensified by ongoing geopolitical tensions. This paper explores the dynamic relationship between sovereign credit risk and exchange rate fluctuations through the innovative
Min Su +3 more
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HY-A-PARCH: A stationary A-PARCH model with long memory [PDF]
The FI-A-PARCH process has been developed by Tse (1998) to model essential characteristics of financial market returns. However, due to the nonstationarity described by Níguez (2002) the process exhibits infinite conditional second moments and no ...
Schoffer, Olaf
core
Modelling time-varying volatility using GARCH models: evidence from the Indian stock market. [PDF]
F1000Res, 2022 Ali F, Suri P, Kaur T, Bisht D.
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Modeling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
, 2007 This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process.
Morana, Claudio, Baillie, Richard T.
core
Is Bitcoin's Carbon Footprint Persistent? Multifractal Evidence and Policy Implications. [PDF]
Entropy (Basel), 2022 Ghosh B, Bouri E.
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The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. [PDF]
Chaos Solitons Fractals, 2021 Lahmiri S, Bekiros S.
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RisksThis paper analyzes the volatility relationship between the Romanian BET index and the U.S. SFT-500 index during the period 2019–2024, with a particular focus on the impact of political and geopolitical shocks.
Kamer-Ainur Aivaz +5 more
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