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Modeling and forecasting firm-specific volatility : the role of asymmetry and long-memory
González-Pla, Francisco; Lovreta, Lidija - In: Finance research letters 48 (2022), pp. 1-7
Persistent link: https://www.econbiz.de/10013463084
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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Forecasting return volatility : level shifts with varying jump probability and mean reversion
Xu, Jiawen; Perron, Pierre - In: International journal of forecasting 30 (2014) 3, pp. 449-463
Persistent link: https://www.econbiz.de/10010511565
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Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks
Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22
-of-sample forecasting results demonstrate the prevalence of the Autoregressive Fractionally Integrated Moving Average and Hyperbolic …
Persistent link: https://www.econbiz.de/10013272684
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Long-memory in volatilities of German stock returns
Sibbertsen, Philipp - 2001
We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both...
Persistent link: https://www.econbiz.de/10009776762
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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012494892
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Long - memory persistence in African stock markets
Gyamfi, Emmanuel Numapau; Kyei, Kwabena; Gill, Ryan - In: EuroEconomica 35 (2016) 1, pp. 83-91
Persistent link: https://www.econbiz.de/10011569442
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Realized range volatility forecasting : dynamic features and predictive variables
Caporin, Massimiliano; Velo, Gabriel G. - In: International review of economics & finance : IREF 40 (2015), pp. 98-112
Persistent link: https://www.econbiz.de/10011573562
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Long-memory in asset returns and volatility : evidence from West Africa
Gyamfi, Emmanuel Numapau; Kyei, Kwabena A.; Gill, Ryan - In: Investment management and financial innovations 13 (2016) 2, pp. 24-28
Persistent link: https://www.econbiz.de/10011647548
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Long-memory, self-similarity and scaling of the long-term government bond yields : evidence from Turkey and the USA
Bayraci, Selçuk - In: Theoretical and applied economics : GAER review 24 (2017) 3, pp. 71-82
Persistent link: https://www.econbiz.de/10011795107