Research graph
References from Modeling long memory in stock market volatility. Local targets link to admitted publications; unresolved targets remain external evidence.
Heterogenous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns
10.2307/2329513 · 1997 · External reference
Efficient method of moments estimation with a stochastic volatility model: a Monte Carlo study
10.1016/s0304-4076(98)00049-9 · 1999 · External reference
Long memory inflation uncertainty: evidence from the term structure of interest rates
10.2307/2077735 · 1993 · External reference
Long memory process and fractional integration in econometrics
10.1016/0304-4076(95)01732-1 · 1996 · External reference
Fractionally integrated generalized autoregressive conditional heteroskedasticity
10.1016/s0304-4076(95)01749-6 · 1996 · External reference
Unresolved reference
1987 · External reference
Modeling and pricing long memory in stock market volatility
10.1016/0304-4076(95)01736-4 · 1996 · External reference
10.1109/cifer.1997.618947
10.1109/cifer.1997.618947 · External reference
Modeling long memory stochastic volatility
10.1016/s0304-4076(97)00072-9 · 1998 · External reference
A Markov model of switching-regime ARCH
10.2307/1392087 · 1994 · External reference
Stochastic volatility: likelihood inference and comparison with ARCH models
10.1111/1467-937x.00050 · 1998 · External reference
Unresolved reference
1973 · External reference
Extremal behavior of solutions to a stochastic difference equation with application to ARCH process
10.1016/0304-4149(89)90076-8 · 1989 · External reference
Modeling the persistence of conditional variances: a comment
10.1080/07474938608800096 · 1986 · External reference
Unresolved reference
1988 · External reference
Unresolved reference
External reference
Long memory property of stock market returns and a new model
10.1016/0927-5398(93)90006-d · 1993 · External reference
Temporal aggregation of GARCH process
10.2307/2951767 · 1993 · External reference
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
10.2307/1912773 · 1982 · External reference
Unresolved reference
1971 · External reference
Estimating stochastic differential equations efficiently by minimum chi-square
10.1093/biomet/84.1.125 · 1996 · External reference
Semi-nonparametric maximum likelihood estimation
10.2307/1913241 · 1987 · External reference
Estimation of stochastic volatility models with diagnostics
10.1016/s0304-4076(97)00039-0 · 1997 · External reference
Stock prices and volume
10.1093/rfs/5.2.199 · 1992 · External reference
Nonlinear dynamic structures
10.2307/2951766 · 1993 · External reference
Which moment to match?
10.1017/s0266466600006976 · 1996 · External reference
Reprojecting partially observed systems with application to interest rate diffusions
10.2307/2669598 · 1998 · External reference
Qualitative threshold ARCH models
10.1016/0304-4076(92)90069-4 · 1992 · External reference
Indirect inference
10.1002/jae.3950080507 · 1993 · External reference
Long memory relationships and the aggregation of dynamic models
10.1016/0304-4076(80)90092-5 · 1980 · External reference
An introduction to long memory time series and fractional differencing
10.1111/j.1467-9892.1980.tb00297.x · 1980 · External reference
A new approach to the economic analysis of nonstationary time series and the business cycle
10.2307/1912559 · 1989 · External reference
Autoregressive conditional heteroskedasticity and changes in regime
10.1016/0304-4076(94)90067-1 · 1994 · External reference
Unresolved reference
External reference
10.26509/frbc-wp-199116
10.26509/frbc-wp-199116 · External reference
Persistence in variance, structural change, and the GARCH model
10.2307/1391985 · 1990 · External reference
Unresolved reference
External reference
Unresolved reference
External reference
Unresolved reference
External reference
The variation of certain speculative prices
10.1086/294632 · 1963 · External reference
Unresolved reference
External reference
Unresolved reference
External reference
The fractional unit root distribution
10.2307/2938213 · 1990 · External reference
Maximum likelihood estimation of stationary univariate fractionally integrated time series models
10.1016/0304-4076(92)90084-5 · 1992 · External reference
Using renewal processes to generate long range dependence and high variability
1986 · External reference
Volume, volatility, and leverage: a dynamic analysis
10.1016/0304-4076(95)01755-0 · 1996 · External reference
