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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

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

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

Effectiveness of Monetary Policy In Economies in Democratic Transition: Evidence from Tunisia

Guizani, Brahim - Volkswirtschaftliche Fakultät, … - 2015

This paper aims to contribute to the meager literature on monetary policy effectiveness in Tunisia especially after the revolution of January 2011; a period during which the country entered a delicate democratization transition. On the basis of a monthly data of several macroeconomic variables...

Persistent link: https://www.econbiz.de/10011210489

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

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

Прогнозування реакції економіки України на економічні шоки в сусідніх державах: глобальна векторна авторегресійна модель «Україна-сусіди»...

Matkovskyy, Roman - Volkswirtschaftliche Fakultät, … - 2012

In this article the approach of Global Vector-Autoregressive (GVAR) models has been applied to Ukraine and its neighbour-countries which contiguous to Ukraine: Belarus, Bulgaria, Georgia, Moldova, Romania, Poland, Slovakia, Russia Federation, Turkey and Hungary. The goal of the research is to...

Persistent link: https://www.econbiz.de/10011261139