Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory

Autor: Mohamed CHIKHI, Ali BENDOB, Ahmed Ramzi SIAGH

Publikováno v: Eastern Journal of European Studies, Vol 10, Iss 2, Pp 221-248 (2019)

Small-cap stocks are characterized by high volatility and offer investors the opportunity to earn higher returns. This paper empirically investigates the impact of the day-of-the-week and the month-of-the year effects on the volatility of daily and m

Externí odkaz: https://doaj.org/article/96d3831a43624cf0a5de60afe23a7ef1

SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence

Autor: Mohamed Chikhi, Michel Terraza, Anne Peguin-Feissolle

Publikováno v: Computational Economics
Computational Economics, Springer Verlag, 2013, 41 (2), pp.249--265
Computational Economics, 2013, 41 (2), pp.249-265. ⟨10.1007/s10614-012-9328-9⟩
Computational Economics, Springer Verlag, 2013, 41 (2), pp.249-265

ACL-3; International audience; This paper analyzes the cyclical behavior of Dow Jones by testing the existence of long memory through a new class of semiparametric ARFIMA models with HYGARCH errors (SEMIFARMA-HYGARCH); this class includes nonparametr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c38bd66ad91f3b02c467b2b2616ee613
https://halshs.archives-ouvertes.fr/halshs-00793203/document

ARFURIMA models: simulations of their properties and application.

Autor: Jibrin, Sanusi Alhaji, Rahman, Rosmanjawati Abdul

Publikováno v: Statistics in Transition. New Series; Jun2022, Vol. 23 Issue 2, p69-87, 18p

ARFURIMA models: simulations of their properties and application

Autor: Sanusi Alhaji Jibrin, Rosmanjawati Abdul Rahman

Publikováno v: Statistics in Transition New Series. 23:69-87

This article defines the Autoregressive Fractional Unit Root Integrated Moving Average (ARFURIMA) model for modelling ILM time series with fractional difference value in the interval of 1 < d < 2. The performance of the ARFURIMA model is examined thr

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1f6e7e2431ccfda55a580480703972ce
https://doi.org/10.2478/stattrans-2022-0017