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Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …
Persistent link: https://www.econbiz.de/10010290338
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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes
Cameron, James; Gulati, Chandra M.; Lin, Yan-xia - In: Journal of risk 19 (2016) 2, pp. 61-80
Persistent link: https://www.econbiz.de/10013177083
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On the sensibility of the Pairs Trading strategy : the case of the FTS stock market index
Fernández-Pérez, A.; Nieves López García, María de las - In: Estudios de economía aplicada : revista promovida por … 38 (2020) 3, pp. 229-236
Persistent link: https://www.econbiz.de/10012618028
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang Karl; Mungo, Julius - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10010274140
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Asymmetric effects and long memory in the volatility of Dow Jones stocks
Scharth, Marcel; Medeiros, Marcelo C. - 2006
Does volatility reflect a continuous reaction to past shocks or changes in the markets induce shifts in the volatility dynamics? In this paper, we provide empirical evidence that cumulated price variations convey meaningful information about multiple regimes in the realized volatility of stocks,...
Persistent link: https://www.econbiz.de/10011807356
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
, we estimate two long memory models, the Fractional Integrated Asymmetric Power-ARCH and the Hyperbolic-GARCH with …
Persistent link: https://www.econbiz.de/10003636008
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Forecasting daily variations of stock index returns with a multifractal model of realized volatility
Lux, Thomas; Morales-Arias, Leonardo; Sattarhoff, Cristina - In: Journal of forecasting 33 (2014) 7, pp. 532-541
Persistent link: https://www.econbiz.de/10011282864
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An empirical model of fractionally cointegrated daily high and low stock market prices
Baruník, Jozef; Dvořáková, Sylvie - In: Economic modelling 45 (2015), pp. 193-206
Persistent link: https://www.econbiz.de/10011334126
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Forecasting the volatility of the dow jones islamic stock market index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short-memory GARCH …
Persistent link: https://www.econbiz.de/10010348307
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Forecasting the volatility of the Dow Jones Islamic Stock Market Index : long memory vs. regime switching
Nasr, Adnen Ben; Lux, Thomas; Ajmi, Ahdi Noomen; Gupta, … - 2014
under the majority of time horizons and loss criteria. Long memory GARCH-type models always improve upon the short …-memory GARCH specification and additionally allowing for regime changes can further improve their performance. …
Persistent link: https://www.econbiz.de/10010406941