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Long memory features in the high frequency data of the Korean stock market · Study

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ArticleLong memory features in the high frequency data of the Korean stock market

Sang Hoon Kang2008

Article2008

Long memory features in the high frequency data of the Korean stock market

Sang Hoon Kang · Seong‐Min Yoon

48 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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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

1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return 2000An Introduction to Econophysics: Correlations and Complexity in Finance 1996Long memory processes and fractional integration in econometrics 1995Scaling behaviour in the dynamics of an economic index 1997Intraday periodicity and volatility persistence in financial markets 2001An Introduction to High-Frequency Finance 1992An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks 2002The Message in Daily Exchange Rates

Cited by

2015Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis 2013The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate 2021How COVID-19 has affected stock market persistence? Evidence from the G7’s 2016Arbitrage with fractional Gaussian processes 2011The valuation of equity warrants in a fractional Brownian environment

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Year2008

Typearticle

Published2008-06-06

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations48

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.physa.2008.05.050

openalex_workW2089874473

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