This study aims to assess the persistence of volatility shocks and long memory in stock
market returns and volatility in Brazil, Russia, India, China, and South Africa (BRICS) …

This paper examines the market efficiency of Saudi Arabia stock exchange market namely
Tadawul All Share Index, TASI, for the period from 1998 to 2020. To test the efficiency of …

This paper proposes a hybrid modelling approach for forecasting returns and volatilities of
the stock market. The model, called ARFIMA-WLLWNN model, integrates the advantages of …

We explore extreme return-volumes dependence among different cryptocurrencies such as
Bitcoin, Ethereum, Ripple, and Litecoin by using the Copula approach. We use Student-t …

This study using the ARFIMA-FIGARCH models found no significant long-memory process
among Green ETFs. However, there is a presence of long memory attributes in the …

This research establishes the predictability and safe harbor properties of two scarce
precious metals, namely, platinum and palladium. Utilizing their spot prices, the study …

This study identifies the long memory process and multiple structural breaks among travel
and tourism indices at the New Zealand Stock Exchange, Dow Jones, and Financial Times …

This research examines the consumer exchange-traded funds (ETFs) in several industries
based on long memory and multiple structural breaks. The autoregressive fractionally …

The current study intends to empirically test a relationship between long-memory features in
returns and volatility of Dhaka Stock Exchange market. As such, the study uses the ARFIMA …

This research provides evidence in determining the predictability of exchange-traded notes
(ETNs). It utilises commodity, currency and equity ETNs as data samples, and examines the …