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Long memory in UK real GDP, 1851 - 2013 : an ARFIMA-FIGARCH analysis

Caporale, Guglielmo Maria; Škare, Marinko - 2014

Persistent link: https://www.econbiz.de/10010402692

Long memory in UK real GDP, 1851 – 2013: an ARFIMA-FIGARCH analysis

Caporale, Guglielmo Maria; Škare, Marinko - 2014

This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is...

Persistent link: https://www.econbiz.de/10010367157

GARCH error based ARIMA forecast for GDP in Sri Lanka

Mukhopadhyay, Chandan Kumar; Kundu, Amit - In: Economic issues in SAARC context, (pp. 202-225). 2008

Persistent link: https://www.econbiz.de/10003794377

Long memory in foreign exchange rates revisited

Tschernig, Rolf - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 53-78

Persistent link: https://www.econbiz.de/10001508144

Stock returns and volatility : international evidence

Paudyal, Krishna; Saldanha, Liesl - In: Advances in Pacific Basin financial markets 5 (1999), pp. 229-258

Persistent link: https://www.econbiz.de/10001493553

Relationship between inflation rate and inflation uncertainty

Hwang, Y. - In: Economics letters 73 (2001) 2, pp. 179-186

Persistent link: https://www.econbiz.de/10001613710

Conditional jump dynamics in stock market returns

Chan, Wing Hong; Maheu, John M. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 3, pp. 377-389

Persistent link: https://www.econbiz.de/10001695284

Forecasting foreign exchange volatility : is implied volatility the best we can do?

Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974118

Evaluating value at risk using selection criteria of the model and the information set

Gargallo, Pilar; Miguel, Jesús; Olave Rubio, Pilar; … - In: Applied financial economics 20 (2010) 16/18, pp. 1415-1428

Persistent link: https://www.econbiz.de/10009010927

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Multinational finance journal : MF ; quarterly … 16 (2012) 1/2, pp. 105-136

Persistent link: https://www.econbiz.de/10010257552