SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Long-term memory and volatility clustering in high-frequency price changes
16 references·1 citing·30 second hop
Long-term memory and volatility clustering in high-frequency price changes (2007)Long-term memory and volatility clusterin…A theory of power-law distributions in financial market fluctuations (2003)A theory of power-law distrib…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…An Introduction to Econophysics: Correlations and Complexity in Finance (2000)An Introduction to Econophysi…Statistical properties of the volatility of price fluctuations (1999)Statistical properties of the…Turbulent cascades in foreign exchange markets (1996)Turbulent cascades in foreign…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Long-Term Memory in Stock Market Prices (1991)Long-Term Memory in Stock Mar…Long-term Memory in Stock Market Prices (1989)Long-term Memory in Stock Mar…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Measuring persistence in stock market volatility using the FIGARCH approach (2014)Measuring persistence in stoc…Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)The Typical Spectral Shape of an Economic Variable (1966)The variation of certain speculative prices (1997)Heterogeneous Agent Models in Economics and Finance (2005)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Portfolio Selection: Efficient Diversification of Investments (1959)The Pricing of Options and Corporate Liabilities (1973)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Random matrix approach to cross correlations in financial data (2002)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Some properties of time series data and their use in econometric model specification (1981)A long memory property of stock market returns and a new model (1993)Wavelet analysis of long-range-dependent traffic (1998)The Distribution of Realized Exchange Rate Volatility (2001)
this work references cited by second hop

References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 2000An Introduction to Econophysics: Correlations and Complexity in Finance2,342 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1991Long-Term Memory in Stock Market Prices1,743 cited
  • 1989Long-term Memory in Stock Market Prices1,433 cited
  • 2003A theory of power-law distributions in financial market fluctuations1,283 cited
  • 1999Statistical properties of the volatility of price fluctuations

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

730 cited
  • 1996Turbulent cascades in foreign exchange markets643 cited
  • Cited by

    • 2014Measuring persistence in stock market volatility using the FIGARCH approach29 cited