We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is achieved by measuring the historical volatilities on a set of increasing time horizons and by computing the resulting effective volatility by a sum with power law weights. The processes have 2 parameters (linear processes) or 4 parameters (affine processes). In the limit where ...

The modelling of wind speed is a traditional topic in meteorological research, where the main interest is on the short-term forecast of wind speed intensity and direction. More recently, this theme has received some interest in the quantitative finance literature for its relationship with electricity production by wind farms. In fact, electricity producers are interested in long-range forecasts...

The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes. The second purpose of the study is to augment the MS-GARCH type models with artificial neural networks to benefit from the universal approximation properties to achieve improved forecasting accuracy. Therefore, the ...

Financial fluctuations play a key role for financial markets studies. A new approach focusing on properties of return intervals can help to get better understanding of the fluctuations. A return interval is defined as the time between two successive volatilities above a given threshold. We review recent studies and analyze the 1000 most traded stocks in the US stock markets. We find that the di...

Modeling short and long time dependence in univariate time series may be successfully accomplished through existing time series processes. In the multivariate setting just a few complex models exist to take care of the di®erent marginal dynamics as well as of the dynamic covariance matrix. The copula approach factors the joint distribution into the marginals and a dependence function, its copul...

In this study, we investigated the impact of first wave COVID-19 pandemic on various sectors Australian stock market. Market capitalization and equally weighted indices were formed for eleven to examine influence them. First, examined financial contagion between Chinese market sector through dynamic conditional correlation fractionally integrated generalized autoregressive heteroskedasticity (D...