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Unveiling the linkages between emerging stock market indices and cryptocurrencies
Ahmed, Wajid Shakeel; Mehmood, Ahsan; Sheikh, Talha; … - In: Asian Academy of Management journal 27 (2022) 2, pp. 189-209
This paper investigated the relationship between cryptocurrencies and emerging stock market indices using fractional … between cryptocurrencies prices and stock indices. Surprisingly, a different picture emerges on using conditional volatility … expected. There is some evidence of cointegration on volatility grounds between cryptocurrencies and emerging stock market …
Persistent link: https://www.econbiz.de/10014285279
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A hypothesis test method for detecting multifractal scaling, applied to Bitcoin prices
Jiang, Chuxuan; Dev, Priya; Maller, Ross A. - In: Journal of risk and financial management : JRFM 13 (2020) 5/104, pp. 1-21
Multifractal processes reproduce some of the stylised features observed in financial time series, namely heavy tails found in asset returns distributions, and long-memory found in volatility. Multifractal scaling cannot be assumed, it should be established; however, this is not a straightforward...
Persistent link: https://www.econbiz.de/10012304977
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Independence test for high dimensional random vectors
Pan, G.; Gao, Jiti; Yang, Y.; Guo, M. - 2012
Persistent link: https://www.econbiz.de/10009565482
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A comparative study of static and iterative models of ARIMA and SVR to predict stock indices prices in developed and emerging economies
Beniwal, Mohit; Archana Singh; Kumar, Nand - In: International journal of applied management science : IJAMS 15 (2023) 4, pp. 352-371
Persistent link: https://www.econbiz.de/10014391724
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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
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Speed of reaction of share price indices to macroeconomic information
Sree Vinutha V.; Rao, S. V. D. Nageswara - In: The empirical economics letters : a monthly … 12 (2013) 10, pp. 1141-1153
Persistent link: https://www.econbiz.de/10010363750
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Improving estimation of the fractionally differencing parameter in the SARFIMA model using tapered periodogram
Ye, Xunyu; Gao, Ping; Li, Handong - In: Economic modelling 46 (2015), pp. 167-179
Persistent link: https://www.econbiz.de/10011436579
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Tehran stock price modeling and forecasting using support vector regression (SVR) and its comparison with the classic model ARIMA
Hajibabaei, Saeed; Hajibabaei, Nematollah; Hosseini, … - In: Iranian economic review : journal of University of Tehran 18 (2014) 2, pp. 105-130
Persistent link: https://www.econbiz.de/10011455426
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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...
Persistent link: https://www.econbiz.de/10011488820
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Predicting liquidity of BSE by using ARIMA model
Jaiswal, Isha - In: Journal of commerce & business studies 2 (2015) 1, pp. 69-77
Persistent link: https://www.econbiz.de/10011492652