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Long memory and volatility clustering: Is the empirical evidence consistent across stock markets?

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References

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1986Modelling the persistence of conditional variances2,068 cited
2000Econophysics: financial time series from a statistical physics point of view165 cited
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2009Economic uncertainty and econophysics74 cited
2023Improving prediction efficiency of Chinese stock index futures intraday price by VIX-Lasso-GRU Model46 cited
2014Measuring persistence in stock market volatility using the FIGARCH approach29 cited
2022A Monte-Carlo approach for pricing arithmetic Asian rainbow options under the mixed fractional Brownian motion25 cited

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