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Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model

Nasr, Adnen Ben; Ajmi, Ahdi Noomen; Gupta, Rangan - In: Applied financial economics 24 (2014) 13/15, pp. 993-1004

Persistent link: https://www.econbiz.de/10010415355

FX market volatility modelling : can we use low-frequency data?

Lyócsa, Štefan; Plíhal, Tomáš; Výrost, Tomáš - In: Finance research letters 40 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012820071

Extreme volatility dependence in exchange rates

Sosa Castro, Miriam; Bucio Pacheco, Christian; Díaz … - In: Cuadernos de economía 40 (2021) 82, pp. 25-55

Persistent link: https://www.econbiz.de/10013188978

Structural clustering of volatility regimes for dynamic trading strategies

Prakash, Arjun; James, Nick; Menzies, Max; Francis, Gilad - In: Applied mathematical finance 28 (2021) 3, pp. 236-274

Persistent link: https://www.econbiz.de/10013171071

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

Long memory in the volatility of selected cryptocurrencies: Bitcoin, Ethereum and Ripple

Soylu, Pınar Kaya; Okur, Mustafa; Çatıkkaş, Özgür; … - In: Journal of risk and financial management : JRFM 13 (2020) 6/107, pp. 1-20

This paper examines the volatility of cryptocurrencies, with particular attention to their potential long memory properties. Using daily data for the three major cryptocurrencies, namely Ripple, Ethereum, and Bitcoin, we test for the long memory property using, Rescaled Range Statistics (R/S),...

Persistent link: https://www.econbiz.de/10012305060

Modeling conditional heteroscedasticity and dorecasting in short term interest rate of KIBOR

Irfan, Mohammad; Irfan, Maria; Awais, Muhammad - In: International journal of economic perspectives : IJEP 4 (2010) 4, pp. 635-654

Persistent link: https://www.econbiz.de/10011587802

Modelling volatility persistence and asymmetry of Naira-Dollar exchange rate

Oyinlola, Mutiu Abimola - In: CBN journal of applied statistics 9 (2018) 1, pp. 141-165

This paper modelled the volatility persistence and asymmetry of naira-dollar exchange rate in interbank and Bureau de Change (BDC) using monthly data between January 2004 and November 2017. The study employed Generalized Autoregressive Conditional Heteroscedasticity [GARCH (1,1)], Thresh- old...

Persistent link: https://www.econbiz.de/10011922750

Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

Kumar, Dilip - In: IIMB management review 29 (2017) 4, pp. 294-310

Persistent link: https://www.econbiz.de/10011879691

Long range dependence in an emerging stock market's sectors : volatility modelling and VaR forecasting

Abuzayed, Bana; Al-Fayoumi, Nedal; Charfeddine, Lanouar - In: Applied economics 50 (2018) 23, pp. 2569-2599

Persistent link: https://www.econbiz.de/10011850296