The memory of stochastic volatility models
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- 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.
- Andrew Harvey (ed.), 1994. "Time Series," Books, Edward Elgar, volume 0, number 599, March.
- 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.
- 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.
- Bollerslev, Tim, 1987. "A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 542-47, August.
- Bollerslev, Tim & Wright, Jonathan H., 2000. "Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data," Journal of Econometrics, Elsevier, vol. 98(1), pages 81-106, September.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- 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.
- 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.
- C. W. J. GRANGER & Zhuanxin DING, 1995. "Some Properties of Absolute Return: An Alternative Measure of Risk," Annales d'Economie et de Statistique, ENSAE, issue 40, pages 67-91.
- Denaranjo, M. V. S., 1993. "Non-central Limit Theorems for Non-linear Functionals of k Gaussian Fields," Journal of Multivariate Analysis, Elsevier, vol. 44(2), pages 227-255, February.
- Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
- repec:cep:stiecm:/1997/319 is not listed on IDEAS
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