We study the tick dynamical behavior of three assets in financial markets (the KOSPI, the won–dollar and yen–dollar exchange rates) using the rescaled range (R/S) analysis. The multifractal Hurst exponents with long-run memory effect can be obtained from those assets, and we discuss whether...

We analyze the minority game for patients, and the results known from the minority game are applied to the patient problem consulted at the department of pediatric cardiology. We find numerically the standard deviation and the global efficiency, which is discussed similar to the El Farol bar...

In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our...

The principal objective of this study is to determine whether the long-memory property is real or a spurious result caused by contemporaneous aggregation. In order to assess the presence of long memory in returns and volatility, two different long-memory detection techniques (modified R/S...

We investigate volatility models and their forecasting abilities for three types of petroleum futures contracts traded on the New York Mercantile Exchange (West Texas Intermediate crude oil, heating oil #2, and unleaded gasoline) and suggest some stylized facts about the volatility of these...

Accurate forecasting of volatility is of considerable interest in financial volatility research, particularly in regard to portfolio allocation, option pricing, and risk management. This article investigates and compares the ability to conduct one-day-ahead volatility forecasts in the Australian...

This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model...

We investigated the performance of value-at-risk (VaR) models of KOSPI 200 sector indices using FIGARCH and FIAPARCH models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and asymmetry properties of the volatility. In addition, the...

Over the past decade, the sharp increases in the prices of oil and agricultural commodities have raised serious concerns about the heightened volatility of these markets and the possible negative interactions between them. This article deals with the dynamic return and volatility spillovers...