Abstract
Rights: UNKNOWN · https://www.elsevier.com/tdm/userlicense/1.0/ · Source: journal-auto-sync:external:CROSSREF_ISSN
Abstract
Rights: UNKNOWN · https://www.elsevier.com/tdm/userlicense/1.0/ · Source: journal-auto-sync:external:CROSSREF_ISSN
Authors
Institutions
No ROR-resolved institution is linked to this work yet.
Provenance
crossref
Confidence 100%
unpaywall
Confidence 95%
datacite
Confidence 0%
No local reference links have been materialized yet.
No local citing links have been materialized yet.
Heterogenous information arrivals and return volatility dynamics: uncovering the long-run in high frequency returns
10.2307/2329513 · 1997
Efficient method of moments estimation with a stochastic volatility model: a Monte Carlo study
10.1016/s0304-4076(98)00049-9 · 1999
Long memory inflation uncertainty: evidence from the term structure of interest rates
10.2307/2077735 · 1993
Long memory process and fractional integration in econometrics
10.1016/0304-4076(95)01732-1 · 1996
Fractionally integrated generalized autoregressive conditional heteroskedasticity
10.1016/s0304-4076(95)01749-6 · 1996
Unresolved referenced work
1987
Modeling and pricing long memory in stock market volatility
10.1016/0304-4076(95)01736-4 · 1996
10.1109/cifer.1997.618947
10.1109/cifer.1997.618947
Modeling long memory stochastic volatility
10.1016/s0304-4076(97)00072-9 · 1998
A Markov model of switching-regime ARCH
10.2307/1392087 · 1994
Stochastic volatility: likelihood inference and comparison with ARCH models
10.1111/1467-937x.00050 · 1998
Unresolved referenced work
1973
Extremal behavior of solutions to a stochastic difference equation with application to ARCH process
10.1016/0304-4149(89)90076-8 · 1989
Modeling the persistence of conditional variances: a comment
10.1080/07474938608800096 · 1986
Unresolved referenced work
1988
Unresolved referenced work
Kept as external metadata until matched
Long memory property of stock market returns and a new model
10.1016/0927-5398(93)90006-d · 1993
Temporal aggregation of GARCH process
10.2307/2951767 · 1993
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
10.2307/1912773 · 1982
Unresolved referenced work
1971
Estimating stochastic differential equations efficiently by minimum chi-square
10.1093/biomet/84.1.125 · 1996
Semi-nonparametric maximum likelihood estimation
10.2307/1913241 · 1987
Estimation of stochastic volatility models with diagnostics
10.1016/s0304-4076(97)00039-0 · 1997
Stock prices and volume
10.1093/rfs/5.2.199 · 1992
Nonlinear dynamic structures
10.2307/2951766 · 1993
Which moment to match?
10.1017/s0266466600006976 · 1996
Reprojecting partially observed systems with application to interest rate diffusions
10.2307/2669598 · 1998
Qualitative threshold ARCH models
10.1016/0304-4076(92)90069-4 · 1992
Indirect inference
10.1002/jae.3950080507 · 1993
Long memory relationships and the aggregation of dynamic models
10.1016/0304-4076(80)90092-5 · 1980
An introduction to long memory time series and fractional differencing
10.1111/j.1467-9892.1980.tb00297.x · 1980
A new approach to the economic analysis of nonstationary time series and the business cycle
10.2307/1912559 · 1989
Autoregressive conditional heteroskedasticity and changes in regime
10.1016/0304-4076(94)90067-1 · 1994
Unresolved referenced work
Kept as external metadata until matched
10.26509/frbc-wp-199116
10.26509/frbc-wp-199116
Persistence in variance, structural change, and the GARCH model
10.2307/1391985 · 1990
Unresolved referenced work
Kept as external metadata until matched
Unresolved referenced work
Kept as external metadata until matched
Unresolved referenced work
Kept as external metadata until matched
The variation of certain speculative prices
10.1086/294632 · 1963
Volume, volatility, and leverage: a dynamic analysis
10.1016/0304-4076(95)01755-0 · doi-reference
Maximum likelihood estimation of stationary univariate fractionally integrated time series models
10.1016/0304-4076(92)90084-5 · doi-reference
The fractional unit root distribution
10.2307/2938213 · doi-reference