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Performance of the multifractal model of asset returns (MMAR) : evidence from emerging stock markets
Günay, Samet - In: International Journal of Financial Studies : open … 4 (2016) 2, pp. 1-17
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns … of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory … consists of two sections. In the first section, we estimated the parameters of GARCH, EGARCH, FIGARCH, MRS-GARCH and MMAR for …
Persistent link: https://www.econbiz.de/10011474619
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Fractal structure of the stock markets of leading asian countries
Günay, Samet - In: Journal of East Asian economic integration 18 (2014) 4, pp. 367-394
In this study, we examined the fractal structure of the Nikkei225, HangSeng, Shanghai Stock Exchange and Straits Times Index of Singapore. Empirical analysis was performed via non-parametric, semi-parametric long memory tests and also fractal dimension calculations. In order to avoid spurious...
Persistent link: https://www.econbiz.de/10011568388
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Robust time series models with trend and seasonal components
Caivano, Michele; Harvey, Andrew C.; Luati, Alessandra - In: SERIEs : Journal of the Spanish Economic Association 7 (2016) 1, pp. 99-120
We describe observation driven time series models for Student-t and EGB2 conditional distributions in which the signal is a linear function of past values of the score of the conditional distribution. These specifications produce models that are easy to implement and deal with outliers by what...
Persistent link: https://www.econbiz.de/10011458780
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Forecasting volatility with Copula-based time series models
Sokolinskiy, Oleg; Dijk, Dick van - 2011
Persistent link: https://www.econbiz.de/10009720755
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FloGARCH : realizing long memory and asymmetries in returns volatility
Vander Elst, Harry - 2015
We introduce the class of FloGARCH models in this paper. FloGARCH models provide a parsimonious joint model for low frequency returns and realized measures and are sufficiently flexible to capture long memory as well as asymmetries related to leverage effects. We analyze the performances of the...
Persistent link: https://www.econbiz.de/10011586235
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Residual log-periodogram inference for long-run relationships
Hassler, Uwe; Mármol, Francesc; Velasco, Carlos - 2002
We assume that some consistent estimator of an equilibrium relation between non-stationary fractionally integrated series is used in a first step to compute residuals (or differences thereof). We propose to apply the semiparametric log-periodogram regression to the (differenced) residuals in...
Persistent link: https://www.econbiz.de/10011524765
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Long memory and structural changes in the forward discount : an empirical investigation
Choi, Kyongwook; Zivot, Eric - 2003
Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...
Persistent link: https://www.econbiz.de/10011512994
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Distinguishing between long-range dependence and deterministic trends
Sibbertsen, Philipp; Venetis, Ioannis - 2003
We provide a method for distinguishing long-range dependence from deterministic trends such as structural breaks. The method is based on the comparison of standard log-periodogram regression estimation of the memory parameter with its tapered counterpart. The difference of these estimators...
Persistent link: https://www.econbiz.de/10010509839
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Temperature anomalies, long memory, and aggregation
Vera-Valdés, J. Eduardo - In: Econometrics : open access journal 9 (2021) 1/9, pp. 1-22
Econometric studies for global heating have typically used regional or global temperature averages to study its long memory properties. One typical explanation behind the long memory properties of temperature averages is cross-sectional aggregation. Nonetheless, formal analysis regarding the...
Persistent link: https://www.econbiz.de/10012483296
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A multifractal model of asset (in)variances
Grobys, Klaus - In: Journal of international financial markets, … 85 (2023), pp. 1-37
Persistent link: https://www.econbiz.de/10014433281