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The memory of stochastic volatility models

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References

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1998The detection and estimation of long memory in stochastic volatility618 cited
1987Tests for Hurst Effect544 cited
1991Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression440 cited

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1996

Varieties of long memory models

425 cited

1995Some Properties of Absolute Return: An Alternative Measure of Risk158 cited

Cited by

2002Microeconomic Models for Long Memory in the Volatility of Financial Time Series125 cited
2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
2011The Long Range Dependence Paradigm for Macroeconomics and Finance90 cited
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations88 cited
2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas78 cited
2006Recent Advances in ARCH Modelling76 cited
2002ARCH-type bilinear models with double long memory71 cited
2002Parametric and Nonparametric Volatility Measurement71 cited
2009Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model62 cited
2003The Local Whittle Estimator of Long-Memory Stochastic Volatility61 cited
2006Aggregation and memory of models of changing volatility54 cited
2003Gaussian inference on certain long-range dependent volatility models50 cited
2015The impact of financial crises on the risk–return tradeoff and the leverage effect48 cited
2002Parametric and Nonparametric Volatility Measurement48 cited
2006A class of nonlinear stochastic volatility models and its implications for pricing currency options46 cited
2004Realized Beta: Persistence and Predictability46 cited