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On the univariate representation of multivariate volatility models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2011
Persistent link: https://www.econbiz.de/10008840656
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Long memory analysis : an empirical investigation
Nazarian, Rafik; Naderi, Esmaeil; Gandali Alikhani, Nadiya - In: International journal of economics and financial issues … 4 (2014) 1, pp. 16-26
Persistent link: https://www.econbiz.de/10010519739
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On the univariate representation of BEKK models with common factors
Hecq, Alain W. J.; Laurent, Sébastien; Palm, Franz C. - 2012
Persistent link: https://www.econbiz.de/10009515469
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Impact of the foreign institutional investments on stock market : evidence from India
Garg, Ashish; Bodla, Bhag Singh - In: Indian economic review : biannual journal of the Delhi … 46 (2011) 2, pp. 303-322
Persistent link: https://www.econbiz.de/10009554620
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Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models
Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410
Persistent link: https://www.econbiz.de/10010520466
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Long memory in returns and volatility : evidence from foreign exchange market of Asian countries
Vats, Alpana - In: The international journal of applied economics and finance 5 (2011) 4, pp. 245-256
Persistent link: https://www.econbiz.de/10009512952
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Essays on financial time series with a focus on high-frequency data
Becker, Janis - 2020
Persistent link: https://www.econbiz.de/10012225306
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Time-varying variance scaling : application of the fractionally integrated ARMA model
Chen, An-sing; Chang, Hung-Chou; Cheng, Lee-Young - In: The North American journal of economics and finance : a … 47 (2019), pp. 1-12
Persistent link: https://www.econbiz.de/10012117796
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The long memory of equity volatility : international evidence
Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - 2017
This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …
Persistent link: https://www.econbiz.de/10011750751
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Revisiting the auto-regressive integrated moving average approach to modelling volatility using Bahrain all share index daily returns
Doblas, Mark P.; Natarajan, Vinodh Kesavaraj; Sankar, … - In: Middle East journal of management : MEJM 10 (2023) 6, pp. 619-636
Persistent link: https://www.econbiz.de/10014424552