• In this work, an optimal alarm system is developed to predict whether a financial time series modeled via Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) models, up/downcrosses some particular level and give an alarm whenever this crossing is predicted. The paper presents classical and Bayesian methodology for producing optimal alarm systems. Both methodologies are illustrated and th...

This paper examines the long memory property in the high frequency data of KOSPI 200 using the FIAPARCH model. The empirical results indicate that the FIAPARCH model can capture asymmetry and long memory in the volatility of intraday KOSPI 200 returns. Interestingly, the presence of long memory is invariant to the temporally aggregated intraday returns, implying that a long memory phenomenon is...

South Africa is a cornucopia of the platinum group metals particularly platinum and palladium. These metals have many unique physical and chemical characteristics which render them indispensable to technology and industry, the markets and the medical field. In this paper we carry out a holistic investigation on long memory (LM), structural breaks and stylized facts in platinum and palladium ret...

In this paper we extend the univariate FIGARCH and FIAPARCH models to a bivariate framework. We estimate bivariate error correction FIGARCH and FIAPARCH models between the All Ordinaries Index and its SPI futures using constant correlation and diagonal parameterisations. We therefore employ a flexible estimation approach that captures the long run equilibrium relationship between the two market...

In this study, we analyse the implications of clean energy, oil and emission prices for energy sector stock in GCC region. so doing, estimate one-day-ahead value at risk (VaR) expected shortfall (ES) Saudi, Abu Dhabi Kuwaiti over short long trading positions using three different memory Autoregressive conditional heteroskedasticity (ARCH)/ Generalized(G)- ARCH models: fractionally integrated as...

This research paper investigates whether ICE futures contracts are an effective and affordable strategy to manage price risk for Canadian commodity producers in recent periods of high price volatility. Long memory in volatility is found to be present in cash and futures prices for canola and western barley. This finding is incorporated into the hedging strategy by estimating hedge ratios using ...

This paper investigates the interdependence of US dollar exchange rates expressed in other major currencies. Focusing on different phases of the Global financial crisis (GFC) and the Eurozone Sovereign Debt Crisis (ESDC), we adopt a dynamic conditional correlation model into a multivariate Fractionally Integrated Asymmetric Power ARCH (FIAPARCH) framework, during the period 2004–2011. The findi...

Finansal piyasalarda uzun hafıza kavramı, geçmiş zaman içerisinde yer alan çok uzaktaki gözlemlerin halen daha yüksek oranda mevcut gözlemler ile ilişkili olduğu anlamına gelmektedir. Uzun sürecinin iyi bir şekilde anlaşılabilmesi, piyasa verimliliği bağlantılı durum olmasından dolayı optimum yatırım stratejilerinin ve portföy yönetiminin tespit edilebilmesinde kilit rol üstlenmektedir. Varlık ...