Search Results - subject:"ARFIMA-FIGARCH model"

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

This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student- t...

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

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-Min - In: International Review of Economics & Finance 30 (2014) C, pp. 101-119

Saudi Arabia, using the ARFIMA–FIGARCH model under several global events. It discerns the impacts of both scheduled and … the exchange rates. The structural breaks seem to have greater impacts on changing persistence, and that the ARFIMA–FIGARCH … model coupled with the dummy variables of the unscheduled news announcements and the structural changes is the most suitable …

Persistent link: https://www.econbiz.de/10010737932

Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcements

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: International review of economics & finance : IREF 30 (2014), pp. 101-119

Persistent link: https://www.econbiz.de/10010490494

Modelling power spot prices in deregulated European energy markets: a dual long memory approach

Chaâbane, Najeh; Saâdaoui, Foued; Benammou, Saloua - In: Global Business and Economics Review 14 (2012) 4, pp. 338-361

In the last decade, with deregulation and introduction of competition in power markets, prices forecasting have become a real challenge for all market participants. However, forecasting is a rather complex task since electricity prices involve many features comparably with financial ones....

Persistent link: https://www.econbiz.de/10011145341