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Modeling long memory in stock market volatility

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Author Info
Liu, Ming
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File URL: http://www.sciencedirect.com/science/article/B6VC0-40V4D9P-N/2/954692e3a3baaab80735ec77fda63986
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 99 (2000)
Issue (Month): 1 (November)
Pages: 139-171
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Handle: RePEc:eee:econom:v:99:y:2000:i:1:p:139-171

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  1. Taner Yigit, 2007. "Inflation Targeting : An Indirect Approach to Assess the Direct Impact," Departmental Working Papers 0706, Bilkent University, Department of Economics. [Downloadable!]
  2. Smith, Aaron, 2004. "Level Shifts and the Illusion of Long Memory in Economic Time Series," Working Papers 11974, University of California, Davis, Department of Agricultural and Resource Economics. [Downloadable!]
    Other versions:
  3. Mengchen Hsieh & Clifford Hurvich & Philippe Soulier, 2004. "Asymptotics for Duration-Driven Long Range Dependent Processes," Econometrics 0412009, EconWPA. [Downloadable!]
    Other versions:
  4. Taner Yigit, 2002. "Effects of Moments on Aggregation and Long Memory in Inflation," Departmental Working Papers 0210, Bilkent University, Department of Economics. [Downloadable!]
    Other versions:
  5. Helena Veiga, 2006. "A Two Factor Long Memory Stochastic Volatility Model," Statistics and Econometrics Working Papers ws061303, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
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This page was last updated on 2009-12-9.

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