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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela; Mansouri, Fayçal - In: Journal of quantitative economics : official journal of … 11 (2013) 1/2, pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
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Modelling and forecasting long memory time series with exponential and switching GARCH models
Amiri, Esmail - In: International journal of monetary economics and finance 12 (2019) 5, pp. 407-425
Persistent link: https://www.econbiz.de/10012155069
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Exchange-rates volatility in Nigeria: Application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN Journal of Applied Statistics 04 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011482587
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Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break
Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116
This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to … standard information criteria, volatility persistence and the log likelihood statistic, showed that results improved with … estimation of volatility models with breaks as against those of GARCH models without volatility breaks and that the introduction …
Persistent link: https://www.econbiz.de/10011476095
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Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach
Vu Thanh Hai; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 19/21, pp. 2909-2914
Persistent link: https://www.econbiz.de/10010192361
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Strict stationarity, persistence and volatility forecasting in ARCH (∞) processes
Davidson, James E. H.; Li, Xiaoyu - In: Journal of empirical finance 38 (2016), pp. 534-547
Persistent link: https://www.econbiz.de/10011663340
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Forecasting volatility of Saudi stock market (TASI) and sectoral indices
Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842
Persistent link: https://www.econbiz.de/10014434354
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A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH
Bauer, Christian - In: The European Journal of Finance 13 (2007) 1, pp. 65-87
The impact of short run price trending on the conditional volatility is tested empirically. A new family of … conditionally heteroscedastic models with a trend-dependent conditional variance equation: The Trend-GARCH model is described … model identification, estimation, and testing. The empirical analysis supports the existence of trend effects. The Trend-GARCH …
Persistent link: https://www.econbiz.de/10005012242
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Measuring persistence in stock market volatility using the FIGARCH approach
Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197
the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …
Persistent link: https://www.econbiz.de/10011058943
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Public information arrival and volatility persistence in financial markets
Janssen, Gust - In: The European Journal of Finance 10 (2004) 3, pp. 177-197
news category and by financial market. It is demonstrated that most of the volatility persistence, as observed by GARCH …This paper explores the relationship between daily market volatility and the arrival of public information in four … volatility of US stocks, treasury bills, bonds and dollar were detected. However, the effects - in size and duration - vary by …
Persistent link: https://www.econbiz.de/10005471979