Narrow search
Showing 1 - 10 of 1,062
Cover Image
Can GARCH Models Capture Long-Range Dependence?
Maheu, John - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 4, pp. 1269-1269
fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …
Persistent link: https://www.econbiz.de/10005751404
Cover Image
Finansų rinkų statistinis tyrimas
Marcinkevičius, Matas - 2008
). Šiame darbe bus surastos analitinės FIGARCH proceso antros eilės logaritminės tikėtinumo funkcijos išvestinės. Ilgo … įvertinti GARCH (CGARCH(1), CGARCH(2)) ir FIGARCH(1,d,1)) modeliais maksimalaus tikėtinumo metodu. Taip pat bus sukurtas NASDAQ … analytic expressions for the second-order derivatives of the log-likelihood function of FIGARCH processes. Long …
Persistent link: https://www.econbiz.de/10009479019
Cover Image
Long Memory in Stock Market Volatility:Evidence from India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices … of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …
Persistent link: https://www.econbiz.de/10011112536
Cover Image
Some evidence of purchasing power parity
Sephton, Peter S. - In: The Open Economics Journal 1 (2008), pp. 55-57
Empirical support for purchasing power parity is mixed with results dependent on the time frame and countries under examination, the methodology employed, attempts to control for aggregation bias in the data, and whether adjustments are made to account for productivity differences across...
Persistent link: https://www.econbiz.de/10010290076
Cover Image
Fractional integration and its influence on unit root and co-integration analysis
Marques, Guilherme de Oliveira Lima C. - In: Economia aplicada : EA 20 (2016) 3, pp. 333-350
Persistent link: https://www.econbiz.de/10011807231
Cover Image
Inflation targeting and inflation deviation inertia : a study for Brazil based on the fractional integration approach
Moreira, Ricardo Ramalhete; Monte, Edson Zambon; … - In: Journal of applied economics 21 (2018) 1, pp. 67-83
We applied the fractional integration approach to measure inflation deviation inertia in an emerging economy under an inflation targeting regime, as well as to control for potential determinants of such a deviation. We did not base our analysis on typical unit root tests, as we identified a...
Persistent link: https://www.econbiz.de/10012157181
Cover Image
The economic importance of rare earth elements volatility forecasts
Proelss, Juliane; Schweizer, Denis; Seiler, Volker - In: International review of financial analysis 71 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012435747
Cover Image
Seasonality and Fractional Integration in the Sea Level Rise and Surface Temperature Data along the Barrier Coast of Nigeria
Yaya, OlaOluwa S.; Gil-Alana, Luis A.; Fashae, Oluwatoyin A. - Department of Economics, Faculty of Economic and … - 2015
This paper examines the time series properties of sea level rise and the surface temperature data along the Barrier Coast of Nigeria. In particular, we focus on the seasonality and the degree of persistence of the series, measured in terms of seasonal and non-seasonal unit roots along with...
Persistent link: https://www.econbiz.de/10011220718
Cover Image
The effect of economic policy uncertainty under fractional integration
Ramirez, Carlos D. - In: Portuguese economic journal 23 (2024) 1, pp. 89-110
Persistent link: https://www.econbiz.de/10014513090
Cover Image
Risk and Return: Long-Run Relationships, Fractional Cointegration, and Return Predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - School of Economics and Management, University of Aarhus - 2011
The dynamic dependencies in financial market volatility are generally well described by a long-memory fractionally integrated process. At the same time, the volatility risk premium, defined as the difference between the ex-post realized volatility and the market’s ex-ante expectation thereof,...
Persistent link: https://www.econbiz.de/10009399368