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Long-range dependence in the conditional variance of stock returns

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  • Crato, Nuno
  • de Lima, Pedro J. F.

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  • Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
  • Handle: RePEc:eee:ecolet:v:45:y:1994:i:3:p:281-285
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    References listed on IDEAS

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    1. Rudebusch, Glenn D, 1993. "The Uncertain Unit Root in Real GNP," American Economic Review, American Economic Association, vol. 83(1), pages 264-272, March.
    2. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, pages 7-61.
    3. John Y. Campbell & N. Gregory Mankiw, 1987. "Are Output Fluctuations Transitory?," The Quarterly Journal of Economics, Oxford University Press, pages 857-880.
    4. Osborn, Denise R, et al, 1988. "Seasonality and the Order of Integration for Consumption," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 50(4), pages 361-377, November.
    5. repec:fth:harver:1418 is not listed on IDEAS
    6. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
    7. Simon Kuznets & Elizabeth Jenks, 1961. "Capital in the American Economy: Its Formation and Financing," NBER Books, National Bureau of Economic Research, Inc, number kuzn61-1, January.
    8. Chatterjee, Satyajit & Ravikumar, B., 1992. "A neoclassical model of seasonal fluctuations," Journal of Monetary Economics, Elsevier, pages 59-86.
    9. J. Bradford De Long & Lawrence H. Summers, "undated". "How Does Macroeconomic Policy Matter?," J. Bradford De Long's Working Papers _130, University of California at Berkeley, Economics Department.
    10. Barsky, Robert B & Miron, Jeffrey A, 1989. "The Seasonal Cycle and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 97(3), pages 503-534, June.
    11. Osborn, Denise R., 1991. "The implications of periodically varying coefficients for seasonal time-series processes," Journal of Econometrics, Elsevier, vol. 48(3), pages 373-384, June.
    12. J. Bradford DeLong & Lawrence H. Summers, 1988. "How Does Macroeconomic Policy Affect Output?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 19(2), pages 433-494.
    13. Jaeger, Albert, 1990. "Shock persistence and the measurement of prewar output series," Economics Letters, Elsevier, vol. 34(4), pages 333-337, December.
    14. Simon Kuznets & Lillian Epstein & Elizabeth Jenks, 1946. "National Product Since 1869," NBER Books, National Bureau of Economic Research, Inc, number kuzn46-1, January.
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