Search Results - subject:"FIGARCH model"

Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models

Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410

Persistent link: https://www.econbiz.de/10010520466

Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the asian crisis vs. the global crisis

Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27

which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi …

Persistent link: https://www.econbiz.de/10011568197

Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models

TURKYILMAZ, Serpil; BALIBEY, Mesut - In: International Journal of Economics and Financial Issues 4 (2014) 2, pp. 400-410

do not support long memory behaviour for the stock market returns. However, FIGARCH model indicate that volatility of …

Persistent link: https://www.econbiz.de/10011273115

The Effect of Crude Oil Price on the Methanol price

Delavari, Majid; Gandali Alikhani, Nadiya - Volkswirtschaftliche Fakultät, … - 2012

examine the relationship between the prices of Iran’s crude oil and methanol using FIGARCH model and based on the weekly time …

Persistent link: https://www.econbiz.de/10011258036

Realized volatility forecast of stock index under structural breaks

Yang, Ke; Chen, Langnan; Tian, Fengping - In: Journal of forecasting 34 (2015) 1, pp. 57-82

Persistent link: https://www.econbiz.de/10011305343

Effects of financial crises on the long memory volatility dependency of foreign exchange rates : the Asian crisis vs. the global crisis

Han, Young Wook - In: Journal of East Asian economic integration 18 (2014) 1, pp. 3-27

Persistent link: https://www.econbiz.de/10010347752

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

Persistent link: https://www.econbiz.de/10010490494

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcement...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-Min - In: International Review of Economics & Finance 30 (2014) C, pp. 101-119

Saudi Arabia, using the ARFIMA–FIGARCH model under several global events. It discerns the impacts of both scheduled and … the exchange rates. The structural breaks seem to have greater impacts on changing persistence, and that the ARFIMA–FIGARCH … model coupled with the dummy variables of the unscheduled news announcements and the structural changes is the most suitable …

Persistent link: https://www.econbiz.de/10010737932

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

Liu, Hsiang-hsi - In: Economic modelling 29 (2012) 6, pp. 2724-2733

Persistent link: https://www.econbiz.de/10009673617

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

Liu, Hsiang-Hsi - In: Economic Modelling 29 (2012) 6, pp. 2724-2733

industry stock market indexes by applying a trivariate FIEC-FIGARCH model. The empirical results confirm that the FIEC-FIGARCH … model can be used to capture long memory behavior and allow us to conclude that mean and volatility spillover, and long …

Persistent link: https://www.econbiz.de/10010588249