In this article, we study the standardized returns by using the realized volatility and long-memory GARCH models. The various normality tests indicate that the realized-standardized returns follow a Gaussian distribution. On the other hand, the standardized returns by GARCH models are able to...

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous...

This paper investigates the asymmetry and long-memory volatility behavior of the Malaysian Stock Exchange daily data over a period of 1991–2005. The long-spanning data set enable us to examine piecewise before, during and after the economic crisis encountered in the Malaysian stock market. The...

This paper examines the long run Granger causality relationship between economic growth, carbon dioxide emissions and energy consumption from 1971 to 2007 in Indonesia, controlling for capital stock and urban population. Using Toda–Yamamoto (TY) procedure, it has been found that there was no...

The main aim of this paper is to investigate the dynamic relationship and volatility spillover between the stock markets in Turkey and the United States under the conditions for Turkey's accession to the European Union. This study uses bivariate cointegration, ECM, CGARCH and threshold...

This study introduces a technique to estimate the Pareto distribution of the stock exchange index by using the maximum-likelihood Hill estimator. Recursive procedures based on the goodness-of-fit statistics are used to determine the optimal threshold fraction of extreme values to be included in...

This research investigates long memory financial equity markets using three heuristic methodologies namely a proposed modified variance time-aggregated plot, modified rescaled-range plot and periodogram approaches. The intensity of the long memory process is quantified in terms of Hurst...

This paper investigates how the Kuala Lumpur Composite Index (KLCI) serves as the common indicator for the Malaysian stock market. The author hypothesizes that KLCI should perform significant interrelationship with all the multi-sector indices not only in the price series, but also the return,...

This study investigates the time-varying volatility of two major crude oil markets, the West Texas Intermediate (WTI) and Europe Brent. A flexible autoregressive conditional heteroskedasticity (ARCH) model is used to take into account the stylized volatility facts such as clustering volatility,...