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...

Целью статьи является исследование циклических характеристик инвестиционной деятельности банков с помощью фрактального анализа. Анализируя научные труды...

Based on long range dependence, some analysts claim that the exchange rate time series of the pound sterling and of an artificially extended euro have been locked together for years despite daily changes [1, 9]. They conclude that pound and euro are in practice the same currency. We assess the...

The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series. In fact, the Fractal Market Hypothesis assumes that the returns dynamics are not independent of the investors’ attitudes and represent the...

In the present work we propose the rescaled range analysis (R/S), modified R/S method and detrended fluctuation analysis (DFA) to investigate the long memory property of Chinese stock markets based on the conditional and actual volatility series, and show that the stock markets in China display...

Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have...

Long term memory effects in stock market indices that represent internationally diversified stocks are analyzed in this paper and the results are compared with the S&P 500 index. The Hurst exponent and the Detrended fluctuation analysis (DFA) technique are the tools used for this analysis. The...