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Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices … of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …
Persistent link: https://www.econbiz.de/10011112536
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International portfolio allocation with European fixed-income funds: What scope for Italian funds?
Zagaglia, Paolo - Volkswirtschaftliche Fakultät, … - 2014
fractionally-integrated GARCH for the conditional variance. The interaction between the funds is modelled as the Dynamic …
Persistent link: https://www.econbiz.de/10011107858
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A Threshold Cointegration Analysis of Asymmetric Adjustment of OPEC and non-OPEC Monthly Crude Oil Prices
Ghassan, Hassan B.; Banerjee, Prashanta K. - Volkswirtschaftliche Fakultät, … - 2013
threshold cointegration and CGARCH errors framework. The empirical contribution of our paper specifies the cointegrating …
Persistent link: https://www.econbiz.de/10011170146
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Does long memory matter in forecasting oil price volatility?
Delavari, Majid; Gandali Alikhani, Nadiya; Naderi, Esmaeil - Volkswirtschaftliche Fakultät, … - 2013
these series. But from among the conditional heteroscedasticity models, the ARFIMA-FIGARCH model was selected as the best …
Persistent link: https://www.econbiz.de/10011259878
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Long Memory Analysis: An Empirical Investigation
Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - Volkswirtschaftliche Fakultät, … - 2013
(ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for … feature in FIGARCH models makes them a better candidate than other conditional heteroskedasticity models for modeling … regression technique was used for estimation of different ARFIMA models. Furthermore, different GARCH-type models were also …
Persistent link: https://www.econbiz.de/10011108581
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The nature of volatility in temporal profit with in Ethiopian commodity exchange: The case of washed export coffee modelled using ARFIMA-M-HYGARCH model
Mezgebo, Taddese - Volkswirtschaftliche Fakultät, … - 2012
Using AFIRMA-M-HYGARCH model it is found that the structure of temporal profit was observed to change in three periods. Since the second and third periods are associated with lagged effect of heavy handed state intervention, it was possible to get an idea to the effect of such state policy. It...
Persistent link: https://www.econbiz.de/10011113539
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Econometric Analysis of Financial Derivatives: An Overview
Chang, Chia-Lin; McAleer, Michael - Tinbergen Instituut - 2014
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special...
Persistent link: https://www.econbiz.de/10011256249
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Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
Mesters, Geert; Koopman, Siem Jan; Ooms, Marius - Tinbergen Instituut - 2011
An exact maximum likelihood method is developed for the estimation of parameters in a non-Gaussian nonlinear log-density function that depends on a latent Gaussian dynamic process with long-memory properties. Our method relies on the method of importance sampling and on a linear Gaussian...
Persistent link: https://www.econbiz.de/10011261933
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Long Memory and Level Shifts: Re-Analyzing Inflation Rates
Bos, Charles S.; Franses, Philip Hans; Ooms, Marius - Tinbergen Institute - 1998
<p>A key application of long memory time series models concerns inflation. Long memory implies that shocks have a long-lasting effect. It may however be that empirical evidence for long memory is caused by neglecting one or more level shifts. Since such level shifts are not unlikely for inflation,...</p>
Persistent link: https://www.econbiz.de/10005209483
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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, C.S.; Koopman, S.J.; Ooms, M. - Tinbergen Institute - 2007
We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...
Persistent link: https://www.econbiz.de/10005209535