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Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
16 references·16 citing·28 second hopsampled
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices (2009)Long-Memory and Level Shifts in the Volat…Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Occasional structural breaks …Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004)Nonstationarities in Financia…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Long memory and regime switching (2001)Long memory and regime switch…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…Structural Breaks in Time Series (2019)Structural Breaks in Time Ser…Nonlinear dependence in cryptocurrency markets (2019)Nonlinear dependence in crypt…Are shocks on the returns and volatility of cryptocurrencies really persistent? (2018)Are shocks on the returns and…Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (2017)Combining long memory and lev…Measuring Uncertainty about Long-Run Predictions (2016)Measuring Uncertainty about L…Crude oil price behaviour before and after military conflicts and geopolitical events (2016)Crude oil price behaviour bef…Volatility spillovers between oil prices and the stock market under structural breaks (2015)Volatility spillovers between…Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model (2015)Long memory and regime switch…Forecasting realized volatility with changing average levels (2015)Forecasting realized volatili…Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model (2014)Modelling the volatility of t…Forecasting return volatility: Level shifts with varying jump probability and mean reversion (2014)Forecasting return volatility…Do emerging markets become more efficient as they develop? Long memory persistence in equity indices (2013)Do emerging markets become mo…A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices (2012)A stochastic volatility model…Long memory and nonlinearities in realized volatility: A Markov switching approach (2010)Long memory and nonlinearitie…A Test Against Spurious Long Memory (2010)A Test Against Spurious Long …Modeling and forecasting stock return volatility using a random level shift model (2009)Modeling and forecasting stoc…Fractional Brownian Motions, Fractional Noises and Applications (1968)The distribution of realized stock return volatility (2001)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The contribution of tourism development to economic growth in the Korean economy (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)
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References

  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1981Some properties of time series data and their use in econometric model specification2,406 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 2001Long memory and regime switching1,162 cited
  • 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1998The detection and estimation of long memory in stochastic volatility

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618 cited
  • 2004Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects523 cited
  • Cited by

    • 2015Volatility spillovers between oil prices and the stock market under structural breaks186 cited
    • 2013Do emerging markets become more efficient as they develop? Long memory persistence in equity indices136 cited
    • 2010A Test Against Spurious Long Memory135 cited
    • 2018Are shocks on the returns and volatility of cryptocurrencies really persistent?100 cited
    • 2016Measuring Uncertainty about Long-Run Predictions97 cited
    • 2019Nonlinear dependence in cryptocurrency markets94 cited
    • 2009Modeling and forecasting stock return volatility using a random level shift model76 cited
    • 2019Structural Breaks in Time Series70 cited
    • 2015Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model66 cited
    • 2016Crude oil price behaviour before and after military conflicts and geopolitical events66 cited
    • 2015Forecasting realized volatility with changing average levels62 cited
    • 2010Long memory and nonlinearities in realized volatility: A Markov switching approach59 cited
    • 2014Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model48 cited
    • 2014Forecasting return volatility: Level shifts with varying jump probability and mean reversion39 cited
    • 2012A stochastic volatility model with random level shifts and its applications to S&P 500 and NASDAQ return indices38 cited
    • 2017Combining long memory and level shifts in modelling and forecasting the volatility of asset returns34 cited