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The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?

Cifarelli, giulio - Volkswirtschaftliche Fakultät, … - 2002

Under rather general conditions Black - Scholes implied volatilities from at-the-money options appropriately quantify, in each period, the market expectations of the average volatility of the return of the underlying asset until contract expiration. The efficiency of these expectation estimates...

Persistent link: https://www.econbiz.de/10008836760

Do Dynamic Neural Networks Stand a Better Chance in Fractionally Integrated Process Forecasting?

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

forecasting error in comparison with the ARFIMA model. …

Persistent link: https://www.econbiz.de/10011260249

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 … volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time … regression technique was used for estimation of different ARFIMA models. Furthermore, different GARCH-type models were also …

Persistent link: https://www.econbiz.de/10011108581

Financial Time Series Forecasting by Developing a Hybrid Intelligent System

Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali … - Volkswirtschaftliche Fakultät, … - 2013

although dynamic artificial neural network model have a stronger performance compared to ARFIMA model, taking into …

Persistent link: https://www.econbiz.de/10011109292

Financial Time Series Forecasting by Developing a Hybrid Intelligent System

Abounoori, Abbas Ali; Naderi, Esmaeil; Gandali … - Volkswirtschaftliche Fakultät, … - 2013

although dynamic artificial neural network model have a stronger performance compared to ARFIMA model, taking into …

Persistent link: https://www.econbiz.de/10011111726

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

Herd behaviour in Malaysian capital market: An empirical analysis

Duasa, Jarita; Kassim, Salina - Volkswirtschaftliche Fakultät, … - 2008

This study examines the existence of herd behavior among foreign investors in the Malaysian capital market. In methodology, the study analyzes the herd behavior by estimating vector error correction (VECM) model of FPI inflows as well as FPI outflows from/to major investors such as the United...

Persistent link: https://www.econbiz.de/10005836076

An Empirical Study of the Fisher Effect and the Dynamic Relation Between Nominal Interest Rate and Inflation in Singapore

Lee, King Fuei - Volkswirtschaftliche Fakultät, … - 2007

The Fisher effect postulated that real interest rate is constant, and that nominal interest rate and expected inflation move one-for-one together. This paper employs Johansen’s method to investigate for the existence of a long-run Fisher effect in the Singapore economy over the period 1976 to...

Persistent link: https://www.econbiz.de/10005837445

Bootstrapping Structural VARs: Avoiding a Potential Bias in Confidence Intervals for Impulse Response Functions

Phillips, Kerk L.; Spencer, David E. - Volkswirtschaftliche Fakultät, … - 2010

Constructing bootstrap confidence intervals for impulse response functions (IRFs) from structural vector autoregression (SVAR) models has become standard practice in empirical macroeconomic research. The accuracy of such confidence intervals can deteriorate severely, however, if the bootstrap...

Persistent link: https://www.econbiz.de/10008550553

An Empirical Study of Dividend Payout and Future Earnings in Singapore

Lee, King Fuei - Volkswirtschaftliche Fakultät, … - 2010

This paper applies Johansen’s vector error-correction model (VECM) to investigate for the existence of the dividend signalling effect in the Singapore aggregate market through impulse response analysis, forecast error variance decomposition and granger-causality test. Our findings show that a...

Persistent link: https://www.econbiz.de/10008587862