This paper explores the relevance of asymmetry and long memory in modeling and forecasting the

We analyze the empirical relationship between announcement effects and return volatilities of four CAC40 companies using intraday financial and event data from SBF-Euronext and Bloomberg, respectively. We estimate the daily component of the intraday volatility using a FIGARCH model and the...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four major commodities (crude oil, natural gas, gold, and sil- ver). A broad set of the most popular linear and nonlinear GARCH-type models is used to...

This paper explores the relevance of asymmetry and long memory in modeling and forecasting the conditional volatility and market risk of four widely traded commodities (crude oil, natural gas, gold, and silver). A broad set of the most popular linear and

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

This article uses the DCC-FIAPARCH model to examine the time-varying properties of conditional return and volatility of crude oil and US stock markets as well as their dynamic correlations over the period 1988-2013. Our results indicate that both the long memory and asymmetric behavior...