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LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS
16 references·6 citing·24 second hop
LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY VOLATILITY DEPENDENCIES WITH CONDITIONALLY HEAVY TAILED RETURNS (2002)LOG-PERIODOGRAM ESTIMATION OF LONG MEMORY…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…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY (1994)MODELING STOCHASTIC VOLATILIT…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return (1987)A Conditionally Heteroskedast…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…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …Long memory and volatility persistence across BRICS stock markets (2022)Long memory and volatility pe…Long memory and efficiency of Bitcoin during COVID-19 (2021)Long memory and efficiency of…Long memory in commodity futures volatility: A wavelet perspective (2007)Long memory in commodity futu…Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter? (2007)Forecasting foreign exchange …The Local Whittle Estimator of Long-Memory Stochastic Volatility (2003)The Local Whittle Estimator o…Gaussian inference on certain long-range dependent volatility models (2003)Gaussian inference on certain…Multivariate GARCH models: a surveyGeneralized autoregressive conditional heteroskedasticity (1986)The distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2003)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)Simple Technical Trading Rules and the Stochastic Properties of Stock Returns (1992)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)ARCH modeling in finance (1992)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)Risk, Return, and Equilibrium: Empirical Tests (1973)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Econometric Analysis of Cross Section and Panel Data (2001)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)Some properties of time series data and their use in econometric model specification (1981)
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References

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  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
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  • 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
  • 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1994

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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
646 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • Cited by

    • 2003The Local Whittle Estimator of Long-Memory Stochastic Volatility61 cited
    • 2003Gaussian inference on certain long-range dependent volatility models50 cited
    • 2007Long memory in commodity futures volatility: A wavelet perspective45 cited
    • 2007Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?40 cited
    • 2022Long memory and volatility persistence across BRICS stock markets26 cited
    • 2021Long memory and efficiency of Bitcoin during COVID-1925 cited