We report significant relations between past changes in the market correlation structure and future changes in the market volatility. This relation is made evident by using a measure of "correlation structure persistence" on correlation-based information filtering networks that quantifies the rate of change of the market dependence structure. We also measured changes in the correlation structur...

How do changes in the market architecture affect the dynamics of deregulated electricity prices? We investigate this issue in the context of the Italian Power Exchange (IPEX), using data on the daily average day-ahead price (PUN) between April 2004 and December 2008. Estimates of baseline time series models (ARMAX and ARMAX-EGARCH) and their forecasting performances suggest that the trend in na...

A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale. When occasional parameter changes are not accounted for in global GARCH(1,1) estimations, they lead to an estimated persistence far above the average data-gen...

This paper studies the behavior of crude oil spot and futures prices. Oil prices, particularly spot and short-term futures prices, appear to have switched from I(0) to I(1) in early 2000s. To better understand this apparent change in persistence, a factor model of oil prices is proposed, where the prices are decomposed into long-term and short-term components. The change in the persistence beha...

In recent years, the increasing importance of the futures market in the Indian financial markets has received considerable attention from researchers, academicians and financial analysts. This paper is an attempt to examine the time varying properties of volatility of India’s stock index futures market. The application of GARCH class models provides the evidence of the persistence of time varyi...

Strong persistence is a common phenomenon that has been documented not only in the levels but also in the volatility of many time series. The class of doubly fractional models is extended to include the possibility of long memory in cyclical (non-zero) frequencies in both the levels and the volatility and a new model, the GARMA-GARMASV (Gegenbauer AutoRegressive Mean Average Id. Stochastic Vola...