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A new INAR(1) model for Z-valued time series using the relative binomial thinning operator

Kachour, Maher; Bakouch, Hassan S.; Mohammadi, Zohreh - In: Jahrbücher für Nationalökonomie und Statistik 243 (2023) 2, pp. 125-152

A new first-order integer-valued autoregressive process (INAR(1)) with extended Poisson innovations is introduced based on a signed version of the thinning operator, called relative binomial thinning operator, which can be considered as an extension of standard binomial thinning operator...

Persistent link: https://www.econbiz.de/10014514104

Optimal hedge ratio in Turkish stock index futures market : a deco-fiaparch approach

Çelik, Ismail; Sak, Ahmet Furkan - In: Financial studies 25 (2021) 4, pp. 17-33

This paper adopts a new approach called DECO-FIAPARCH model for estimating the optimal hedge ratio (HR) in Turkish Stock Index Futures market in the presence of asymmetry and long memory. The study covers the period from May 3, 2005 until April 4, 2019, total of 3,508 daily observations. The...

Persistent link: https://www.econbiz.de/10012793517

True versus spurious long memory in cryptocurrencies

Rambaccussing, Dooruj; Mazibas, Murat - In: Journal of risk and financial management : JRFM 13 (2020) 9/186, pp. 186

We test whether the selected cryptocurrencies exhibit long memory behavior in returns and volatility. We use data on five most traded cryptocurrencies: Bitcoin, Litecoin, Ethereum, Bitcoin Cash, and XRP. Using recent tests of long memory developed against persistent and nonlinear alternatives,...

Persistent link: https://www.econbiz.de/10012386884

Persistence in high frequency financial data : the case of the EuroStoxx 50 futures prices

Caporale, Guglielmo Maria; Plastun, Alex - In: Cogent economics & finance 12 (2024) 1, pp. 1-9

assets because they are updated more rapidly in response to news. This paper explores persistence in high-frequency data (and … trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results show that persistence is … intraday ones are anti-persistent. In addition, persistence varies over time. These findings imply that the Efficient Market …

Persistent link: https://www.econbiz.de/10015394356

Machine learning methods for inflation forecasting in Brazil : new contenders versus classical models

Araújo, Gustavo Silva; Gaglianone, Wagner Piazza - In: Latin American journal of central banking : LAJCB 4 (2023) 2, pp. 1-29

In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed with multiple horizons, a large database of 501 series, and 50 forecasting methods, including new ML techniques proposed here,...

Persistent link: https://www.econbiz.de/10014382916

Stylized patterns in implied volatility indices and stock market returns : a cross country analysis across developed and emerging markets

Pathak, Jalaj; Deb, Soumya Guha - In: Cogent economics & finance 8 (2020) 1, pp. 1-24

. We suspect that two important pre-conditions of volatility feedback hypothesis to hold, namely volatility persistence and …

Persistent link: https://www.econbiz.de/10012219567

Stochastic optimization system for bank reverse stress testing

Montesi, Giuseppe; Papiro, Giovanni; Fazzini, Massimiliano - In: Journal of risk and financial management : JRFM 13 (2020) 8/174, pp. 1-43

The recent evolution of prudential regulation establishes a new requirement for banks and supervisors to perform reverse stress test exercises in their risk assessment processes, aimed at detecting default or near-default scenarios. We propose a reverse stress test methodology based on a...

Persistent link: https://www.econbiz.de/10012322078

Using a panel data approach to determining the key factors of Islamic banks' profitability in Bahrain

ElSeoud, Mohamed Sayed Abou; Yassin, Mohamed; Ali, … - In: Cogent business & management 7 (2020) 1, pp. 1-16

This study examines the effect of bank-specific and macroeconomic key determinants of Islamic retail banks profitability in Bahrain. It used panel data of six Islamic retail banks from 2013 to 2019, and it employed an explanatory research with secondary financial data. Return on Assets (ROA) and...

Persistent link: https://www.econbiz.de/10012650177

Forecasting with a panel Tobit model

Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 117-159

We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional distribution of heterogeneous coefficients and then...

Persistent link: https://www.econbiz.de/10014306360

Application of Markov chain to share price movement in Nigeria (1985-2019)

Manasseh, Charles O.; Iroha, Nnah M.; Okere, Kingsley … - In: Future Business Journal 8 (2022), pp. 1-14

The study evaluates the movement of share prices in the Nigerian stock market. Markov chain approach provides a successful analysis and prediction of time-series data (1985–2019) which reflects Markov dependency. The probability α and β was estimated, and the expectation of the monthly...

Persistent link: https://www.econbiz.de/10014373521