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Foreign Exchange Market Efficiency : Fractional Cointegration Approach
Belkacem, Lotfi; El Meddeb, Zahra; Boubaker, Heni - 2005
In the present study, we investigate the market weak efficiency hypothesis (MEH) in the case of the Tunisian exchange market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate ARFIMA model. The cointegration tests are conducted...
Persistent link: https://www.econbiz.de/10014063076
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Long-memory models in testing the efficiency market hypothesis of the algerian exchange market
Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390
Persistent link: https://www.econbiz.de/10013499339
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An algorithmic trading system based on a stacked generalization model and hidden Markov model in the foreign exchange market
Fereydooni, Ali; Mahootchi, Masoud - In: Global finance journal 56 (2023), pp. 1-24
Persistent link: https://www.econbiz.de/10014478899
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Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models
Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023
Persistent link: https://www.econbiz.de/10014448138
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Is there chaos in economic time series? : a study of the stock and the foreign exchange markets
Tata, Fidelio; Vassilicos, J. C. - 1991
Persistent link: https://www.econbiz.de/10000890317
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On time-series properties of time-varying risk premium in the yen, dollar exchange market
Canova, Fabio; Itō, Takatoshi - 1988
Persistent link: https://www.econbiz.de/10000757860
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Modeling volatility dynamics
Diebold, Francis X.; Lopez, Jose A. - 1995
Persistent link: https://www.econbiz.de/10000587223
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003861274
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The shape and term structure of the index option smirk : why multifactor stochastic volatility models work so well
Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2009
Persistent link: https://www.econbiz.de/10003865680
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Is there any common knowledge news in the Euro/Dollar market?
Ben Omrane, Walid; Heinen, Andréas - In: International review of economics & finance : IREF 18 (2009) 4, pp. 656-670
Persistent link: https://www.econbiz.de/10003902691