کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5053446 1476518 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Semiparametric generalized long-memory modeling of some mena stock market returns: A wavelet approach
چکیده انگلیسی
This paper proposes a new class of semiparametric generalized long-memory models with FIAPARCH errors that extends the conventional GARMA model to incorporate nonlinear deterministic trend and allows for time-varying volatility. To estimate the parameters, we implement a wavelet theory. We provide an empirical application to some MENA stock markets and find that the proposed model offers an interesting framework to describe seasonal long-range dependence and nonlinear trend in return as well as persistence to shocks in conditional volatility. The predictive results also indicate that this model outperforms the traditional FARMA-FIAPARCH process.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 50, November 2015, Pages 254-265
نویسندگان
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