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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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Modeling sudden volatility changes: Evidence from Japanese and Korean stock markets
Kang, Sang Hoon; Cho, Hwan-Gue; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3543-3550
In this study, we have investigated sudden changes in volatility and re-examined the persistence of volatility in Japanese and Korean stock markets during 1986–2008. Using the iterated cumulative sums of squares (ICSS) algorithm, we have determined that the identification of sudden changes is...
Persistent link: https://www.econbiz.de/10010590090
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Long memory in stock index futures markets: A value-at-risk approach
Tang, Ta-Lun; Shieh, Shwu-Jane - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 437-448
FIGARCH (1, d, 1) and HYGARCH (1, d, 1) models with normal, Student-t, and skewed Student-t distributions for S&P500, Nasdaq …
Persistent link: https://www.econbiz.de/10010590781
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Long- versus medium-run identification in fractionally integrated VAR models
Tschernig, Rolf; Weber, Enzo; Weigand, Roland - In: Economics letters 122 (2014) 2, pp. 299-302
Persistent link: https://www.econbiz.de/10010395114
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Estimating the mean under strong persistence
Hassler, Uwe; Hosseinkouchack, Mehdi - In: Economics letters 188 (2020), pp. 1-5
Persistent link: https://www.econbiz.de/10012227832
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A simple test on structural change in long-memory time series
Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94
Persistent link: https://www.econbiz.de/10011982960
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Powerful nonparametric seasonal unit root tests
Eroğlu, Burak Alparslan; Göğebakan, Kemal Çağlar; … - In: Economics letters 167 (2018), pp. 75-80
Persistent link: https://www.econbiz.de/10012015793
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The cyclical structure of the UK inflation rate : 1210-2016
Gil-Alaña, Luis A.; Trani, Tommaso - In: Economics letters 181 (2019), pp. 182-185
Persistent link: https://www.econbiz.de/10012121890
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Fixed bandwidth asymptotics for the studentized mean of fractionally integrated processes
Hualde, Javier; Iacone, Fabrizio - In: Economics letters 150 (2017), pp. 39-43
Persistent link: https://www.econbiz.de/10011762253
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Inference on the long-memory properties of time series with non-stationary volatility
Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84
Persistent link: https://www.econbiz.de/10011617209