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Modelling and forecasting long memory time series with exponential and switching GARCH models

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Long memory or regime switching in volatility? : evidence from high-frequency returns on the U.S. stock indices

Gao, Guangyuan; Ho, Kin-Yip; Shi, Yanlin - In: Pacific-Basin finance journal 61 (2020), pp. 1-20

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Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail : further evidence from equity market

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Scaling by the square-root-of-time rule : an empirical investigation using five market indexes

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Risk adjusted momentum strategies : a comparison between constant and dynamic volatility scaling approaches

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Using short time series of monofractal synthetic fluctuations to estimate the foreign exchange rate : the case of the US Dollar and the Chilean Peso (USD-CLP)

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Short time series are fundamental in the foreign exchange market due to their ability to provide real-time information, allowing traders to react quickly to market movements, thus optimizing profits and mitigating risks. Economic transactions show a strong connection to foreign currencies,...

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Testing purchasing power parity in a DFA rolling Hurst framework : the case of 23 OECD countries

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On the detection of extreme movements and persistent behaviour in Mediterranean stock markets : a wavelet-based approach

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Predictability of Turkish foreign exchange and its implications to option pricing and arbitrage opportunities

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