1. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July. [Downloadable!] (restricted)
   Other versions:
   • Clive Granger & Zhuanxin Ding, 1993. "Varieties of Long Memory Models," University of California at San Diego, Economics Working Paper Series 93-02, Department of Economics, UC San Diego.
2. Ho, Hwai-Chung & Sun, Tze-Chien, 1987. "A central limit theorem for non-instantaneous filters of a stationary Gaussian process," Journal of Multivariate Analysis, Elsevier, vol. 22(1), pages 144-155, June. [Downloadable!] (restricted)
3. Zhuanxin Ding & Clive W.J. Granger, 1994. "Modeling Volatility Persistence of Speculative Returns: A New Approach," University of California at San Diego, Economics Working Paper Series 94-05, Department of Economics, UC San Diego.
   Other versions:
   • Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July. [Downloadable!] (restricted)
4. Paolo Zaffaroni & Peter M. Robinson, 1997. "Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility," FMG Discussion Papers dp253, Financial Markets Group. [Downloadable!] (restricted)
5. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January. [Downloadable!] (restricted)
6. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
   Other versions:
   • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
7. Zhuanxin Ding & Clive W. J. Granger, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ADRES, issue 40, pages 06, Octobre-D. [Downloadable!]
   Other versions:
   • C. W.J. Granger & Zhuanxin Ding, 1993. "Some Properties of Absolute Return: An Alternative Measure of Risk," University of California at San Diego, Economics Working Paper Series 93-38, Department of Economics, UC San Diego. [Downloadable!]
8. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
   Other versions:
   • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
   • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
   • Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
9. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)

Cited by:
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1. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August. [Downloadable!] (restricted)
   Other versions:
   • Javier De Peña & Luis A. Gil-Alana, 2003. "Testing of Nonstationary Cycles in Financial Time Series Data," Faculty Working Papers 15/03, School of Economics and Business Administration, University of Navarra. [Downloadable!]
2. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   Other versions:
   • V Dalla & L Giraitis & J Hidalgo, . "Consistent estimation of the memory parameter for nonlinear time series," Discussion Papers 05/17, Department of Economics, University of York.
   • Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /06/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   • Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 211-251, 03. [Downloadable!] (restricted)
3. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, 05. [Downloadable!] (restricted)
4. Peter M Robinson, 2005. "Modelling Memory of Economic and Financial Time Series," STICERD - Econometrics Paper Series /2005/487, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
5. Jonathan H. Wright, 2000. "Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns," International Finance Discussion Papers 685, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
   Other versions:
   • Jonathan Wright, 2002. "Log-Periodogram Estimation Of Long Memory Volatility Dependencies With Conditionally Heavy Tailed Returns," Econometric Reviews, Taylor and Francis Journals, vol. 21(4), pages 397-417. [Downloadable!] (restricted)
6. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2007. "Long Run and Cyclical Dynamics in the US Stock Market," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
   Other versions:
   • Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Economics Series 155, Institute for Advanced Studies. [Downloadable!]
   • Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Long Run And Cyclical Dynamics In The Us Stock Market," Economics and Finance Discussion Papers 05-09, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
   • L.A. Gil-Alana & G.M. caporale, 2004. "Long-run and Cyclical Dynamics in the US Stock Market," Econometric Society 2004 Latin American Meetings 344, Econometric Society. [Downloadable!]
7. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus. [Downloadable!]
   Other versions:
   • Bent Jesper Christensen & Jie Zhu & Morten Ørregaard Nielsen, 2009. "Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model," Working Papers 1207, Queen's University, Department of Economics. [Downloadable!]
8. Dominique Guegan, 2007. "La persistance dans les marchés financiers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00179269_v1, HAL. [Downloadable!]
9. Paolo Zaffaroni, 2003. "Gaussian inference on certain long-range dependent volatility models," Temi di discussione (Economic working papers) 472, Bank of Italy, Economic Research Department. [Downloadable!]
10. Nour Meddahi, 2001. "An Eigenfunction Approach for Volatility Modeling," CIRANO Working Papers 2001s-70, CIRANO. [Downloadable!]