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Long memory and tail dependence in trading volume and volatility · Study

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ArticleLong memory and tail dependence in trading volume and volatility

Eduardo Rossi2013

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Articlegreen2013

Long memory and tail dependence in trading volume and volatility

Eduardo Rossi · Paolo Santucci de Magistris

57 citations·0/0 files stored·Journal of Empirical Finance

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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

2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993A long memory property of stock market returns and a new model 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1995Techniques for Verifying the Accuracy of Risk Measurement Models 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity 2001The distribution of realized stock return volatility

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Details

Year2013

Typearticle

Published2013-03-27

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations57

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2013.03.004

openalex_workW2802495409

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