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ArticleThe memory of stochastic volatility models

Peter M. Robinson2001

Article2001

The memory of stochastic volatility models

Peter M. Robinson

96 citations·0/0 files stored·Journal of Econometrics

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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

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1993A long memory property of stock market returns and a new model 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2007Modelling Financial Time Series 1995Log-Periodogram Regression of Time Series with Long Range Dependence 2010A Long Memory Property of Stock Market Returns and a New Model

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2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series 2005How can we Define the Concept of Long Memory? An Econometric Survey 2011The Long Range Dependence Paradigm for Macroeconomics and Finance 2007The Effect of Long Memory in Volatility on Stock Market Fluctuations 2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas

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Year2001

Typearticle

Published2001-04-01

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations96

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0304-4076(00)00079-8

openalex_workW2010030142

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2006Recent Advances in ARCH Modelling

2002Parametric and Nonparametric Volatility Measurement

2002ARCH-type bilinear models with double long memory