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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 … 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
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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
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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
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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
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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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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
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On the Causality between Domestic Credit Aggregates and Economic Growth in a Multivariate VAR Framework: Evidence from Nigeria
Evans, Olaniyi - Volkswirtschaftliche Fakultät, … - 2013
The major objective of this paper is to empirically investigate the relationship between domestic credit and economic growth in Nigeria, using annual time series data from 1970 to 2012. In order to do this, the study employs KPSS unit root test, Johansen cointegration test, VAR modeling, impulse...
Persistent link: https://www.econbiz.de/10011108574
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Testing Finance-Led, Export-Led and Import-Led Growth Hypotheses on Four Sub-Saharan African Economies
Evans, Olaniyi - Volkswirtschaftliche Fakultät, … - 2013
This study carries out an empirical examination of the finance-led, export-led and import-led growth hypothesis for four of the largest Sub-Saharan African economies namely South Africa, Nigeria, Ghana and Kenya. Within a multivariate Vector-Auto Regressive (VAR) framework, the concept of...
Persistent link: https://www.econbiz.de/10011108930
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Asymetric Effect of Oil Price Shocks on Exchange Rate Volatility and Domestic Investment in Nigeria
Riman, Hodo B.; Akpan, Emmanuel S.; Offiong, Amenawo I - Volkswirtschaftliche Fakultät, … - 2013
Aim: The paper aimed at examining the asymmetric effect of oil price shock on exchange rate and domestic investment in Nigeria. Study Design: Country case study. Place and Duration of Study: Nigeria. Time series data ranging from 1970-2010. Methodology: This study utilised elaborate econometric...
Persistent link: https://www.econbiz.de/10011259779
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Towards Understanding the Normalization in Structural VAR Models
Kociecki, Andrzej - Volkswirtschaftliche Fakultät, … - 2013
The aim of the paper is to study the nature of normalization in Structural VAR models. Noting that normalization is the integral part of identification of a model, we provide a general characterization of the normalization. In consequence some the easy–to–check conditions for a Structural...
Persistent link: https://www.econbiz.de/10011260080