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Multiple-period market risk prediction under long memory : when VaR is higher than expected

Kinateder, Harald; Wagner, Niklas F. - In: Journal of risk finance : the convergence of financial … 15 (2014) 1, pp. 4-32

Persistent link: https://www.econbiz.de/10010252220

Do emerging markets become more efficient as they develop? : long memory persistence in equity indices

Hull, Matthew; McGroarty, Frank - In: Emerging markets review 18 (2014), pp. 45-61

Persistent link: https://www.econbiz.de/10010417536

An analysis of the weak form efficiency, multifractality and long memory of global, regional and European stock markets

Mensi, Walid; Tiwari, Aviral Kumar; Al-Yahyaee, Khamis Hamed - In: The quarterly review of economics and finance : journal … 72 (2019), pp. 168-177

Persistent link: https://www.econbiz.de/10012176113

Is violation of the random walk assumption an exception or a rule in capital markets?

Dittrich, Ludwig O.; Srbek, Pavel - In: Atlantic economic journal : AEJ 48 (2020) 4, pp. 491-501

Persistent link: https://www.econbiz.de/10012485200

Long memory and fractality among global equity markets : a multivariate wavelet approach

Bhandari, Avishek; Kamaiah, Bandi - In: Journal of quantitative economics 19 (2021) 1, pp. 23-37

Persistent link: https://www.econbiz.de/10012489848

Long memory and efficiency of Bitcoin under heavy tails

Wu, Liang; Chen, Shujuan - In: Applied economics 52 (2020) 48, pp. 5298-5309

Persistent link: https://www.econbiz.de/10012307228

Long memory and efficiency of Bitcoin during COVID-19

Wu, Xiang; Wu, Liang; Chen, Shujuan - In: Applied economics 54 (2022) 4, pp. 375-389

Persistent link: https://www.econbiz.de/10012874043

Improvement in Hurst exponent estimation and its application to financial markets

Gómez-Águila, A.; Trinidad Segovia, Juan Evangelista; … - In: Financial innovation : FIN 8 (2022), pp. 1-21

This research aims to improve the efficiency in estimating the Hurst exponent in financial time series. A new procedure is developed based on equality in distribution and is applicable to the estimation methods of the Hurst exponent. We show how to use this new procedure with three of the most...

Persistent link: https://www.econbiz.de/10013413110

Volatility Components, Affine Restrictions and Non-Normal Innovations

Christoffersen, Peter; Dorion, Kris; Wang, Yintian - School of Economics and Management, University of Aarhus - 2008

Recent work by Engle and Lee (1999) shows that allowing for long-run and short-run components greatly enhances a GARCH … valuation performance of the Engle-Lee model and compare it to the standard one-component GARCH(1,1) model. We also compare … these non-affine GARCH models to one- and two- component models from the class of affine GARCH models developed in Heston …

Persistent link: https://www.econbiz.de/10005440037

Measuring persistence in stock market volatility using the FIGARCH approach

Bentes, Sónia R. - In: Physica A: Statistical Mechanics and its Applications 408 (2014) C, pp. 190-197

the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …

Persistent link: https://www.econbiz.de/10011058943