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Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42

Persistent link: https://www.econbiz.de/10011957033

Statistical properties of microstructure noise

Jacod, Jean; Li, Yingying; Zheng, Xinghua - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10011791234

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Uncovering hidden insights with long-memory process detection : an in-depth overview

Hassani, Hossein; Yarmohammadi, Masoud; Marvian, Leila - In: Risks : open access journal 11 (2023) 6, pp. 1-15

using the sample autocorrelation function (ACF) to identify long-memory processes. While the ACF establishes the theoretical …

Persistent link: https://www.econbiz.de/10014335857

A latent factor model for forecasting realized variances

Calzolari, Giorgio; Halbleib, Roxana; Zagidullina, Aygul - In: Journal of financial econometrics 19 (2021) 5, pp. 860-909

Persistent link: https://www.econbiz.de/10012799052

COVID-19 pandemic and Romanian stock market volatility : a GARCH approach

Gherghina, Ștefan Cristian; Armeanu, Daniel Ștefan; … - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-29

This paper investigates the volatility of daily returns on the Romanian stock market between January 2020 and April 2021. Volatility is analyzed by means of the representative index for Bucharest Stock Exchange (BSE), namely, the Bucharest Exchange Trading (BET) index, along with twelve...

Persistent link: https://www.econbiz.de/10012626337

Monitoring multistage processes with autocorrelated observations

Kim, Jinho; Jeong, Myong K.; Elsayed, Elsayed A. - In: International journal of production research 55 (2017) 7/8, pp. 2385-2396

Persistent link: https://www.econbiz.de/10011648619

The impacts of a smoking ban on gaming volume in a South Korea casino

Lee, Sojeong; Repetti, Toni; Singh, Ashok K.; Bernhard, Bo - In: The journal of gambling business and economics 14 (2021) 1, pp. 33-55

Persistent link: https://www.econbiz.de/10013173794

ARFURIMA models: simulations of their properties and application

Jibrin, Sanusi Alhaji; Rahman, Rosmanjawati Abdul - In: Statistics in transition : an international journal of … 23 (2022) 2, pp. 69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1൏𝑑൏2. The performance of the ARFURIMA model is examined through a Monte Carlo simulation. Also, some...

Persistent link: https://www.econbiz.de/10013419429

Cryptocurrencies and long-range trends

Alexiadou, Monica; Sofianos, Emmanouil; Gkonkas, Periklēs - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-17

In this study we investigate possible long-range trends in the cryptocurrency market. We employed the Hurst exponent in a sample covering the period from 1 January 2016 to 26 March 2021. We calculated the Hurst exponent in three non-overlapping consecutive windows and in the whole sample. Using...

Persistent link: https://www.econbiz.de/10014279894