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On the long memory properties of emerging capital markets : evidence from Istanbul stock exchange

Kiliç, Rehim - In: Applied financial economics 14 (2004) 13, pp. 915-922

Persistent link: https://www.econbiz.de/10002195474

Stock returns and long-range dependence

Odonkor, Alexander Ayertey; Ababio, Emmanuel Nkrumah; … - In: Global business review 23 (2022) 1, pp. 37-47

Persistent link: https://www.econbiz.de/10012822065

Can Bitcoin be a stable investment?

Çelik, Ismail - In: Financial studies 24 (2020) 2, pp. 19-36

and structural breaks on fractality is investigated through the ARFIMA-FIGARCH and ARFIMA-HYGARCH models. We observe that …

Persistent link: https://www.econbiz.de/10012484965

Long range dependence and structural breaks in the gold markets

Chong, Terence Tai-Leung; Lu, Chenxi; Chan, Wing Hong - In: The Singapore economic review : journal of the Economic … 65 (2020) 2, pp. 257-273

Persistent link: https://www.econbiz.de/10012497160

Effects of asset frequency components on value-at-risk in emerging and developed markets : analyses with MODWT and CWT wavelets

Biage, Milton; Nelcide, Pierre Joseph - In: Brazilian review of econometrics : BRE ; the review of … 40 (2020) 1, pp. 145-207

Persistent link: https://www.econbiz.de/10012271374

Long memory model : BIST 100 index

Terzioğlu, M. Kenan - In: Current issues in finance, economy and politics : …, (pp. 301-309). 2019

Persistent link: https://www.econbiz.de/10012253158

Measuring the market efficiency of Energy Exchange-Traded Funds (ETFS)

Saleem, Kashif; Al-Hares, Osama M. - In: Theoretical economics letters 8 (2018) 6, pp. 1247-1256

Persistent link: https://www.econbiz.de/10011888205

To infinity and beyond : efficient computation of ARCH(\infty) models

Nielsen, Morten Ørregaard; Noël, Antoine - 2020

fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) model. Our algorithm is a variation of …

Persistent link: https://www.econbiz.de/10012183643

To infinity and beyond : efficient computation of ARCH(∞) models

Nielsen, Morten Ørregaard; Noël, Antoine L. - 2020

Persistent link: https://www.econbiz.de/10012318239

High Frequency Deutsche Mark-US Dollar Returns: FIGARCH Representations and Non Linearities

Baillie, Richard T.; Cecen, Aydin A.; Han, Young-Wook - In: Multinational Finance Journal 4 (2000) 3-4, pp. 247-267

This article considers the use of the long memory volatility process, FIGARCH, in representing Deutschemark - US dollar … spot exchange rate returns for both high and low frequency returns data. The FIGARCH model is found to be the preferred … the FIGARCH specification is found to be adequate. …

Persistent link: https://www.econbiz.de/10010937148