Search Results - subject:"Long range memory"

The value of expected return persistence

Schadner, Wolfgang; Lang, Sebastian - In: Annals of finance 19 (2023) 4, pp. 449-476

Persistent link: https://www.econbiz.de/10014448279

Extracting rules via Markov chains for cryptocurrencies returns forecasting

Felix do Nascimento, Kerolly Kedma; Santos, Fábio … - In: Computational economics 61 (2023) 3, pp. 1095-1114

Persistent link: https://www.econbiz.de/10014252144

Investigating efficiency of frontier stock markets using multifractal detrended fluctuation analysis

Aslam, Faheem; Ferreira, Paulo; Mohti, Wahbeeah - In: International journal of emerging markets 18 (2023) 7, pp. 1650-1676

Persistent link: https://www.econbiz.de/10014333916

Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach

Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110

Persistent link: https://www.econbiz.de/10011564809

Sheared disk packings as a model system for complex dynamics

Sexton, M.B.; Hardiman, S.J.; Möbius, M.E.; Hutzler, S. - In: Physica A: Statistical Mechanics and its Applications 394 (2014) C, pp. 312-319

Stress fluctuations in a model of densely packed disks under steady shear reproduce many features known for complex systems. These include fat-tailed probability distributions, volatility clustering and long-range autocorrelations. Using a rescaling analysis developed in econophysics, we relate...

Persistent link: https://www.econbiz.de/10011062242

Agent based reasoning for the non-linear stochastic models of long-range memory

Kononovicius, A.; Gontis, V. - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 4, pp. 1309-1314

is compared to the non-linear stochastic models of long-range memory in financial markets. The agent based model …

Persistent link: https://www.econbiz.de/10010589016

Parametric Value-at-Risk analysis: Evidence from stock indices

Mabrouk, Samir; Saadi, Samir - In: The Quarterly Review of Economics and Finance 52 (2012) 3, pp. 305-321

long range memory, we examine GARCH-type models including fractionary integrated models under normal, Student-t and skewed …

Persistent link: https://www.econbiz.de/10010602927

On the predictability of extreme events in records with linear and nonlinear long-range memory: Efficiency and noise robustness

Bogachev, Mikhail I.; Bunde, Armin - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 12, pp. 2240-2250

We study the predictability of extreme events in records with linear and nonlinear long-range memory in the presence of … solely the information about short-term precursors, and (ii) the return interval approach (RIA) that exploits long-range … memory incorporated in the elapsed time after the last extreme event. We find that the PRT always performs better when only …

Persistent link: https://www.econbiz.de/10010589979

Value-at-risk estimations of energy commodities via long-memory, asymmetry and fat-tailed GARCH models

Aloui, Chaker; Mabrouk, Samir - In: Energy Policy 38 (2010) 5, pp. 2326-2339

cases considering for long-range memory, asymmetry and fat-tail in energy markets volatility were conducted. We computed the … for long-range memory, fat-tails and asymmetry performs better in predicting a one-day-ahead VaR for both short and long …

Persistent link: https://www.econbiz.de/10008523032

One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market

Mabrouk, Samir; Aloui, Chaker - In: International Journal of Financial Services Management 4 (2010) 2, pp. 77-94

considers the asymmetry, long-range memory and fat-tails in the TSE return behaviour. This model provides the better results for …

Persistent link: https://www.econbiz.de/10008755718