Search Results - subject:"ARFIMA–FIGARCH"

Applications of long-memory and structure breaks for carbon indexes

Do Thi Van Trang; Chen, Jo-hui - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 3, pp. 579-585

Persistent link: https://www.econbiz.de/10014368332

Relationship between macroeconomic fundamentals in the West African monetary zone$h

Eshun, Richard; Tweneboah, George - In: Journal for studies in economics and econometrics : SEE 49 (2025) 2, pp. 158-177

Persistent link: https://www.econbiz.de/10015417730

Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models

TURKYILMAZ, Serpil; BALIBEY, Mesut - In: International Journal of Economics and Financial Issues 4 (2014) 2, pp. 400-410

period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different … stock market simultaneously, ARFIMA-FIGARCH models are estimated according to different distributions simultaneously …

Persistent link: https://www.econbiz.de/10011273115

Long memory behavior in the returns of Pakistan Stock Market : ARFIMA-FIGARCH models

Turkyilmaz, Serpil; Balibey, Mesut - In: International journal of economics and financial issues … 4 (2014) 2, pp. 400-410

Persistent link: https://www.econbiz.de/10010520466

Long memory volatility in Asian stock markets

Duppati, Geeta; Kumar, Anoop S.; Scrimgeour, Frank; Li, Leon - In: Pacific Accounting Review 29 (2017) 3, pp. 423-442

average (ARFIMA)-FIGARCH model and ARFIMA-asymmetric power autoregressive conditional heteroscedasticity (APARCH) models, and …

Persistent link: https://www.econbiz.de/10014968875

Long memory volatility in Asian stock markets

Duppati, Geeta; Kumar, Anoop S.; Scrimgeour, Frank; Li, Leon - In: Pacific accounting review 29 (2017) 3, pp. 423-442

Persistent link: https://www.econbiz.de/10011759243

Analyzing the Dual Long Memory in Stock Market Returns

URAL, Mert; KUCUKOZMEN, C. Coskun - In: Ege Academic Review 11 (2011) Special Issue, pp. 19-28

ARFIMA-FIGARCH model and structural break test in context of weak form efficient market hypothesis. The models are estimated …

Persistent link: https://www.econbiz.de/10010551371

Free lunch in the oil market: a note on Long Memory

Prado, Sylvain Michael - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011

In the crude oil market the phenomenon of Long Memory can be easily identified with the help of the simple (but effective) methodology of Katsumi Shimotsu. The Exact Local Whittle estimator and two testing strategies provide a strong assessment of the phenomenon. We present evidences and we...

Persistent link: https://www.econbiz.de/10009143627

Modelling and forecasting wind speed intensity for weather risk management

Caporin, Massimiliano; Pres, Juliusz - Dipartimento di Scienze Economiche "Marco Fanno", … - 2010

Gamma Auto Regressive process, and the ARFIMA-FIGARCH model. We provide both in-sample and out-of-sample comparisons of the …

Persistent link: https://www.econbiz.de/10008478650

International Tourists’ Expenditures In Thailand: A Modelling Of The Arfima-Figarch Approach

Chokethaworn, Kanchana; Wiboonponse, Aree; … - In: Annals of the University of Petrosani, Economics 10 (2010) 2, pp. 85-98

Forecasting is an essential analytical tool for tourism policy and planning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q). Secondary data was used to produce forecasts of international tourists’ expenditures in Thailand for the period 2009-2010. The results...

Persistent link: https://www.econbiz.de/10008853203