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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
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Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach
Vu Thanh Hai; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 19/21, pp. 2909-2914
Persistent link: https://www.econbiz.de/10010192361
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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Forecasting volatility of Saudi stock market (TASI) and sectoral indices
Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842
Persistent link: https://www.econbiz.de/10014434354
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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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An empirical analysis of the volatility in the open-end fund market : evidence from China
Xie, Shiqing; Huang, Xichen - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 150-162
Persistent link: https://www.econbiz.de/10010258917
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Exploring international differences in inflation dynamics
Ahmad, Yamin; Mykhaylova, Olena - 2015
Persistent link: https://www.econbiz.de/10011457442