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Overlaying Time Scales in Financial Volatility Data
Hillebrand, Eric - EconWPA - 2005
financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …
Persistent link: https://www.econbiz.de/10005062571
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalin; Kaya, Orcun - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...
Persistent link: https://www.econbiz.de/10010311861
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Testing for long memory in volatility in the Indian Forex market
Kumar, Anoop S. - In: Economic annals 59 (2014) 203, pp. 75-90
Persistent link: https://www.econbiz.de/10010510863
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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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Are frontier stock markets more inefficient than emerging stock markets?
Dheeriya, Prakash L.; Torun, Erdost - In: International journal of monetary economics and finance 6 (2013) 4, pp. 271-284
Persistent link: https://www.econbiz.de/10010412983
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Stock returns and long-range dependence
Odonkor, Alexander Ayertey; Ababio, Emmanuel Nkrumah; … - In: Global business review 23 (2022) 1, pp. 37-47
Persistent link: https://www.econbiz.de/10012822065
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Long memory model : BIST 100 index
Terzioğlu, M. Kenan - In: Current issues in finance, economy and politics : …, (pp. 301-309). 2019
Persistent link: https://www.econbiz.de/10012253158
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Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data
Lecarpentier-Moyal, Sylvie; Prat, Georges; … - Institut de Préparation à l'Administration et à la … - 2013
the intraday volatility using a FIGARCH model and the intraday seasonality by the Fourier Flexible Form. We find that …
Persistent link: https://www.econbiz.de/10010754712
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Investigating Inflation Dynamics and Structural Change with an Adaptive ARFIMA Approach
Baille, Richard T.; Morana, Claudio - International Centre for Economic Research (ICER) - 2009
Previous models of monthly CPI inflation time series have focused on possible regime shifts, non-linearities and the feature of long memory. This paper proposes a new time series model, named Adaptive ARFIMA; which appears well suited to describe inflation and potentially other economic time...
Persistent link: https://www.econbiz.de/10004972510
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Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach
Baillie, Richard T.; Morana, Claudio - International Centre for Economic Research (ICER) - 2007
This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is …. A Monte Carlo study ?nds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is …
Persistent link: https://www.econbiz.de/10004972519