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Bitcoin Is Not the New Gold: A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Hien, Pham Thu; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in financial markets with …
Persistent link: https://www.econbiz.de/10014284447
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Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M model
Christensen, Bent Jesper; Nielsen, Morten Ørregaard; … - 2009
We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …
Persistent link: https://www.econbiz.de/10010290338
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Bitcoin is not the New Gold - A Comparison of Volatility, Correlation, and Portfolio Performance
Klein, Tony; Thu, Hien Pham; Walther, Thomas - 2018
BEKK-GARCH model to estimate time-varying conditional correlations. Gold plays an important role in nancial markets with …
Persistent link: https://www.econbiz.de/10012433164
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On the origins of high persistence in GARCH-models
Krämer, Walter; Tameze Azamo, Baudouin; Christou, … - 2009
Persistent link: https://www.econbiz.de/10008839631
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Forecasting volatility and the risk-return tradeoff : an application on the Fama-French benchmark market return
Vafiadis, Nikolaos - In: Journal of time series econometrics 7 (2015) 2, pp. 181-216
Persistent link: https://www.econbiz.de/10011291298
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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices
Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012494892
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Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis
Karanasos, Menelaos; Yfanti, Stavroula; Karoglou, Michail - In: International review of financial analysis 45 (2016), pp. 332-349
Persistent link: https://www.econbiz.de/10011583871
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Modeling Latin-American stock markets volatility : varying probabilities and mean reversion in a random level shift model
Rodriguez, Gabriel - In: Review of development finance 6 (2016) 1, pp. 26-45
Persistent link: https://www.econbiz.de/10011588077
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Expected shortfall in the presence of asymmetry and long memory : an application to Vietnamese stock markets
Walther, Thomas - In: Pacific accounting review 29 (2017) 2, pp. 132-151
Persistent link: https://www.econbiz.de/10011703972
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Long memory and structural change in the G7 inflation dynamics
Belkhouja, Mustapha; Mootamri, Imene - In: Economic modelling 54 (2016), pp. 450-462
Persistent link: https://www.econbiz.de/10011642242