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The impact of structural break to permanent and transitory components of Malaysian stock market

Chin, Wen Cheong; Isa, Zaidi; Abu Hassan Shaari Mohd Nor - In: Journal of quantitative economics : official journal of … 5 (2007) 2, pp. 83-94

Persistent link: https://www.econbiz.de/10003789602

Cross-country evidence on output growth volatility : nonstationary variance and GARCH models

Fang, Wen-shwo (contributor); Miller, Stephen M. (contributor) - 2007

Persistent link: https://www.econbiz.de/10003474283

Long-memories and mean breaks in realized volatilities

Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280

Persistent link: https://www.econbiz.de/10011380139

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Persistent link: https://www.econbiz.de/10011335205

The euro introduction and non-euro currencies

Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006

This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...

Persistent link: https://www.econbiz.de/10011343243

Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models

Arouri, Mohamed; Lahiani, Amine; Lévy, Aldo; Nguyen, … - In: Energy economics 34 (2012) 1, pp. 283-293

Persistent link: https://www.econbiz.de/10009618848

Structural breaks and financial volatility : lessons from the BRIC countries

Morales, Lucia; Gassie-Falzone, Esmeralda - In: Economics, management and financial markets 9 (2014) 4, pp. 67-91

Persistent link: https://www.econbiz.de/10011544269

Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

Persistent link: https://www.econbiz.de/10011556212

Investigating dynamic conditional correlation between crude oil and fuels in non-linear framework : the financial and economic role of structural breaks

Block, Alexander Souza; Righi, Marcelo Brutti; … - In: Energy economics 49 (2015), pp. 23-32

Persistent link: https://www.econbiz.de/10011536627

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcemen...

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

Persistent link: https://www.econbiz.de/10010490494