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A Source of Long Memory in Volatility · Study

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PreprintA Source of Long Memory in Volatility

Ser‐Huang Poon2006

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Preprintgreen2006

A Source of Long Memory in Volatility

Ser‐Huang Poon · Namwon Hyung · Clive W. J. Granger

22 citations·0/0 files stored·SSRN Electronic Journal

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Complex Systems and Time Series Analysis

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1976Option pricing when underlying stock returns are discontinuous 1994Comparing Predictive Accuracy 1987Expected stock returns and volatility 2003Modeling and Forecasting Realized Volatility 1989Why Does Stock Market Volatility Change Over Time?

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.2139/ssrn.904582

openalex_workW1580289113

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