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Citations for "A long memory property of stock market returns and a new model"

by Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F.

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  1. Christian M. Hafner & Sebastien Laurent & Francesco Violante, 2015. "Weak diffusion limits of dynamic conditional correlation models," CREATES Research Papers 2015-03, School of Economics and Management, University of Aarhus.
  2. Ahoniemi, Katja & Lanne, Markku, 2010. "Realized volatility and overnight returns," Research Discussion Papers 19/2010, Bank of Finland.
  3. Zevallos, Mauricio & Villarreal, Fernanda & Del Carpio, Carlos & Abbara, Omar, 2014. "Influencia de los precios de los metales y el mercado internacional en el riesgo bursátil peruano," Working Papers 2014-023, Banco Central de Reserva del Perú.
  4. Thavaneswaran, A. & Appadoo, S.S. & Peiris, S., 2005. "Forecasting volatility," Statistics & Probability Letters, Elsevier, vol. 75(1), pages 1-10, November.
  5. Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010. "GFC-Robust Risk Management Strategies under the Basel Accord," KIER Working Papers 727, Kyoto University, Institute of Economic Research.
  6. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics.
  7. Alfarano, Simone & Milakovic, Mishael, 2009. "Network structure and N-dependence in agent-based herding models," Journal of Economic Dynamics and Control, Elsevier, vol. 33(1), pages 78-92, January.
  8. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  9. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(4), pages 257-274, October.
  10. Kin‐Yip Ho & Zhaoyong Zhang, 2012. "Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach," The World Economy, Wiley Blackwell, vol. 35(4), pages 500-523, 04.
  11. Výrost, Tomáš & Baumöhl, Eduard, 2009. "Asymmetric GARCH and the financial crisis: a preliminary study," MPRA Paper 27939, University Library of Munich, Germany.
  12. Siokis, Fotios M., 2013. "Multifractal analysis of stock exchange crashes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1164-1171.
  13. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
  14. Tim Bollerslev & Natalia Sizova & George Tauchen, 2010. "Volatility in Equilibrium: Asymmetries and Dynamic Dependencies," Working Papers 10-34, Duke University, Department of Economics.
  15. Michael Milakovic & Simone Alfarano, 2007. "Should Network Structure Matter in Agent-Based Finance?," Working Papers wp07-02, Warwick Business School, Finance Group.
  16. Gonzalez-Rivera, Gloria & Drost, Feike C., 1999. "Efficiency comparisons of maximum-likelihood-based estimators in GARCH models," Journal of Econometrics, Elsevier, vol. 93(1), pages 93-111, November.
  17. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368336, HAL.
  18. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
  19. Matthieu Wyart & Jean-Philippe Bouchaud, 2003. "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive 500020, Science & Finance, Capital Fund Management.
  20. Fabrizio Cipollini & Robert F. Engle & Giampiero M. Gallo, 2006. "Vector Multiplicative Error Models: Representation and Inference," NBER Working Papers 12690, National Bureau of Economic Research, Inc.
  21. Chong, Terence Tai-Leung, 2000. "Estimating the differencing parameter via the partial autocorrelation function," Journal of Econometrics, Elsevier, vol. 97(2), pages 365-381, August.
  22. Luati, Alessandra & Proietti, Tommaso & Reale, Marco, 2011. "The Variance Profile," MPRA Paper 30378, University Library of Munich, Germany.
  23. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
  24. Liudas Giraitis & Peter M Robinson & Donatas Surgailis, 2000. "A Model for Long Memory Conditional Heteroscedasticity - (Now published in Annals of Applied Probability, 10 (2000), pp.1002-1024.)," STICERD - Econometrics Paper Series /2000/382, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  25. Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 171-188, January.
  26. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
  27. Gil-Alana, Luis A., 2008. "A simple non-linear model with fractional integration for financial time series data," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 838-848, December.
  28. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría.
  29. Peter Hans Matthews, 2005. "Paradise lost and found? The econometric contributions of Clive W. J. Granger and Robert F. Engle," Review of Political Economy, Taylor & Francis Journals, vol. 17(1), pages 1-28.
  30. Liudas Giraitis & Peter M. Robinson & Donatas Surgailis, 2000. "A model for long memory conditional heteroscedasticity," LSE Research Online Documents on Economics 299, London School of Economics and Political Science, LSE Library.
  31. James K. Self, 2006. "Asymmetric Stationarity in National Stock Market Indices: An MTAR Analysis," The Journal of Business, University of Chicago Press, vol. 79(6), pages 3153-3174, November.
  32. Yamamoto, Ryuichi, 2011. "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," Journal of Economic Dynamics and Control, Elsevier, vol. 35(11), pages 1938-1963.
  33. Chuang, Wen-I & Susmel, Rauli, 2011. "Who is the more overconfident trader? Individual vs. institutional investors," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1626-1644, July.
  34. repec:hal:journl:halshs-00368336 is not listed on IDEAS
  35. Zhu, Ke, 2015. "Bootstrapping the portmanteau tests in weak auto-regressive moving average models," MPRA Paper 61930, University Library of Munich, Germany.
  36. Marco J. Lombardi & Giampiero M. Gallo, 2002. "Analytic Hessian Matrices and the Computation of FIGARCH Estimates," Econometrics Working Papers Archive wp2002_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  37. Menelaos Karanasos, . "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York.
  38. Bhat, Harish S. & Kumar, Nitesh, 2012. "Option pricing under a normal mixture distribution derived from the Markov tree model," European Journal of Operational Research, Elsevier, vol. 223(3), pages 762-774.
  39. Bollerslev, Tim & Ole Mikkelsen, Hans, 1999. "Long-term equity anticipation securities and stock market volatility dynamics," Journal of Econometrics, Elsevier, vol. 92(1), pages 75-99, September.
  40. Leonardo Becchetti & Rocco Ciciretti, 2006. "Corporate Social Responsibility and Stock Market Performance," CEIS Research Paper 79, Tor Vergata University, CEIS, revised 22 Mar 2006.
  41. Anna Creti & Khaled Guesmi & Ilyes Abid, 2014. "Conditional Correlations and Volatility Spillovers between Oil Price and OECD Stock index: a Multivariate Analysis," Working Papers 2014-065, Department of Research, Ipag Business School.
  42. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Paul Labys, 2001. "Modeling and Forecasting Realized Volatility," NBER Working Papers 8160, National Bureau of Economic Research, Inc.
  43. Francis X. Diebold & Atsushi Inoue, 2000. "Long Memory and Regime Switching," NBER Technical Working Papers 0264, National Bureau of Economic Research, Inc.
  44. Tomasz Wojtowicz & Henryk Gurgul, 2009. "Long memory of volatility measures in time series," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 1, pages 37-54.
  45. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Lévy Processes," Journal of Finance, American Finance Association, vol. 59(3), pages 1405-1440, 06.
  46. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
  47. Massimiliano Caporin & Angelo Ranaldo, 2011. "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers 2011-11, Swiss National Bank.
  48. Chun Liu & John M. Maheu, 2009. "Forecasting realized volatility: a Bayesian model-averaging approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 709-733.
  49. Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency," Working Papers 0497, University of Heidelberg, Department of Economics.
  50. Kumar, Dilip & Maheswaran, S., 2014. "Modeling and forecasting the additive bias corrected extreme value volatility estimator," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 166-176.
  51. Hentschel, Ludger, 1995. "All in the family Nesting symmetric and asymmetric GARCH models," Journal of Financial Economics, Elsevier, vol. 39(1), pages 71-104, September.
  52. James McCulloch, 2012. "Fractal Market Time," Research Paper Series 311, Quantitative Finance Research Centre, University of Technology, Sydney.
  53. Baruník, Jozef & Dvořáková, Sylvie, 2015. "An empirical model of fractionally cointegrated daily high and low stock market prices," Economic Modelling, Elsevier, vol. 45(C), pages 193-206.
  54. Juan José Echavarría & Luis Fernando Melo & Santiago Téllez & Mauricio Villamizar, 2013. "The impact of pre-announced day-to-day interventions on the Colombian exchange rate," BIS Working Papers 428, Bank for International Settlements.
  55. Nauro F. Campos & Menelaos G. Karanasos, 2007. "Growth, Volatility and Political Instability: Non-Linear Time-Series Evidence for Argentina, 1896-2000," CEDI Discussion Paper Series 07-12, Centre for Economic Development and Institutions(CEDI), Brunel University.
  56. Matilla-Garci­a, Mariano & Ruiz Mari­n, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
  57. Gürtler, Marc & Rauh, Ronald, 2013. "Empirical studies in a multivariate non-stationary, nonparametric regression model for financial returns," Working Papers IF43V1, Technische Universität Braunschweig, Institute of Finance.
  58. Xekalaki, Evdokia & Degiannakis, Stavros, 2005. "Evaluating volatility forecasts in option pricing in the context of a simulated options market," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 611-629, April.
  59. Diep Duong & Norman Swanson, 2013. "Empirical Evidence on the Importance of Aggregation, Asymmetry, and Jumps for Volatility Prediction," Departmental Working Papers 201321, Rutgers University, Department of Economics.
  60. Mototsugu Shintani & Oliver Linton, 2003. "Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos," LSE Research Online Documents on Economics 2097, London School of Economics and Political Science, LSE Library.
  61. Rombouts, Jeroen & Stentoft, Lars & Violante, Franceso, 2014. "The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options," International Journal of Forecasting, Elsevier, vol. 30(1), pages 78-98.
  62. Cecilia Maya & Karoll Gómez, 2008. "What Exactly is "Bad News" in Foreign Exchange Markets? Evidence from Latin American Markets," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 45(132), pages 161-183.
  63. Cassola, Nuno & Morana, Claudio, 2003. "Volatility of interest rates in the euro area: evidence from high frequency data," Working Paper Series 0235, European Central Bank.
  64. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney.
  65. Mohammadi, Hassan & Su, Lixian, 2010. "International evidence on crude oil price dynamics: Applications of ARIMA-GARCH models," Energy Economics, Elsevier, vol. 32(5), pages 1001-1008, September.
  66. Krause, Sebastian M. & Bornholdt, Stefan, 2013. "Spin models as microfoundation of macroscopic market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4048-4054.
  67. Granger, Clive W. J. & Ding, Zhuanxin, 1996. "Varieties of long memory models," Journal of Econometrics, Elsevier, vol. 73(1), pages 61-77, July.
  68. Perron, Pierre & Qu, Zhongjun, 2010. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 275-290.
  69. Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero & Julián Andrada-Félix, . "Testing Chaotic Dynamics via Lyapunov Exponents," Working Papers 2000-07, FEDEA.
  70. Francesco Guidi, 2009. "Volatility and Long-Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK," The IUP Journal of Financial Economics, IUP Publications, vol. 0(2), pages 7-39, June.
  71. 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.
  72. Malmsten, Hans & Teräsvirta, Timo, 2004. "Stylized Facts of Financial Time Series and Three Popular Models of Volatility," SSE/EFI Working Paper Series in Economics and Finance 563, Stockholm School of Economics, revised 03 Sep 2004.
  73. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
  74. Sofiane ABOURA, 2004. "GARCH Option Pricing Under Skew," Finance 0405032, EconWPA.
  75. Adnen Ben Nasr & Mohamed Boutahar & Abdelwahed Trabelsi, 2010. "Fractionally integrated time varying GARCH model," Statistical Methods and Applications, Springer, vol. 19(3), pages 399-430, August.
  76. Su, EnDer, 2013. "Measuring and Testing Tail Dependence and Contagion Risk between Major Stock Markets," MPRA Paper 48444, University Library of Munich, Germany.
  77. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.
  78. Pasquini, Michele & Serva, Maurizio, 1999. "Multiscale behaviour of volatility autocorrelations in a financial market," Economics Letters, Elsevier, vol. 65(3), pages 275-279, December.
  79. M. Shibley Sadique, 2011. "Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 77-88, June.
  80. Adnen Ben Nasr & Ahdi Noomen Ajmi & Rangan Gupta, 2014. "Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model," Applied Financial Economics, Taylor & Francis Journals, vol. 24(14), pages 993-1004, July.
  81. Thomas Lux, 2006. "The Markov-Switching Multifractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility," Working Papers wp06-19, Warwick Business School, Finance Group.
  82. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc.
  83. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
  84. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  85. Jin-Chuan Duan & Peter Ritchken & Zhiqiang Sun, 2006. "Jump starting GARCH: pricing and hedging options with jumps in returns and volatilities," Working Paper 0619, Federal Reserve Bank of Cleveland.
  86. Chia-Lin Chang & Michael McAleer & Roengchai Tansuchat, 2012. "Modelling Long Memory Volatility in Agricultural Commodity Futures Returns," Working Papers in Economics 12/09, University of Canterbury, Department of Economics and Finance.
  87. Guégan D., 2004. "How Can We Define The Concept of Long Memory? An Econometric Survey," School of Economics and Finance Discussion Papers and Working Papers Series 178, School of Economics and Finance, Queensland University of Technology.
  88. M. Karanasos & S. Schurer, 2006. "Is the relationship between ination and its uncertainty linear?," Computing in Economics and Finance 2006 463, Society for Computational Economics.
  89. Le Pen, Yannick & Sévi, Yannick, 2007. "Optimal hedging in European electricity forward markets," Economics Papers from University Paris Dauphine 123456789/6808, Paris Dauphine University.
  90. Liu, Ming, 2000. "Modeling long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 99(1), pages 139-171, November.
  91. repec:dgr:uvatin:2098104 is not listed on IDEAS
  92. J. Baixauli & Susana Alvarez, 2006. "Evaluating effects of excess kurtosis on VaR estimates: Evidence for international stock indices," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 27-46, August.
  93. Thomas Lux & Leonardo Morales-Arias & Cristina Sattarhoff, 2011. "A Markov-switching Multifractal Approach to Forecasting Realized Volatility," Kiel Working Papers 1737, Kiel Institute for the World Economy.
  94. 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.
  95. Sun, Lin, 2013. "Pricing currency options in the mixed fractional Brownian motion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3441-3458.
  96. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, 09.
  97. Rehim Kili, 2004. "On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange," Applied Financial Economics, Taylor & Francis Journals, vol. 14(13), pages 915-922.
  98. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2002. "Mixed normal conditional heteroskedasticity," CFS Working Paper Series 2002/10, Center for Financial Studies (CFS).
  99. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
  100. Ane, Thierry & Ureche-Rangau, Loredana, 2006. "Stock market dynamics in a regime-switching asymmetric power GARCH model," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 109-129.
  101. Paul Eitelman & Justin Vitanza, 2008. "A non-random walk revisited: short- and long-term memory in asset prices," International Finance Discussion Papers 956, Board of Governors of the Federal Reserve System (U.S.).
  102. Mensi, Walid & Hammoudeh, Shawkat & Yoon, Seong-Min, 2014. "How do OPEC news and structural breaks impact returns and volatility in crude oil markets? Further evidence from a long memory process," Energy Economics, Elsevier, vol. 42(C), pages 343-354.
  103. Rohit Deo & Clifford Hurvich & Yi Lu, 2005. "Forecasting Realized Volatility Using a Long Memory Stochastic Volatility Model: Estimation, Prediction and Seasonal Adjustment," Econometrics 0501002, EconWPA.
  104. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2009. "Asymmetric multivariate normal mixture GARCH," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2129-2154, April.
  105. Li, Youwei & Hamill, Philip A. & Opong, Kwaku K., 2010. "Do benchmark African equity indices exhibit the stylized facts?," Global Finance Journal, Elsevier, vol. 21(1), pages 71-97.
  106. Jacek Leskow & Justyna Mokrzycka & Krzysztof Krawiec, 2011. "Modeling Stock Market Indexes With Copula Functions," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 7(2), pages 1-16, August.
  107. Kallunki, Juha-Pekka, 1997. "Handling missing prices in a thinly traded stock market: implications for the specification of event study methods," European Journal of Operational Research, Elsevier, vol. 103(1), pages 186-197, November.
  108. Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, School of Economics and Management, University of Aarhus.
  109. Peter Reinhard Hansen & Asger Lunde & James M. Nason, 2003. "Choosing the Best Volatility Models: The Model Confidence Set Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 839-861, December.
  110. Terry Marsh & Takao Kobayashi, 2000. "The Contributions of Professors Fischer Black, Robert Merton and Myron Scholes to the Financial Services Industry," International Review of Finance, International Review of Finance Ltd., vol. 1(4), pages 295-315.
  111. Kin-Yip Ho & Albert K Tsui, 2008. "Volatility Dynamics in Foreign Exchange Rates : Further Evidence from the Malaysian Ringgit and Singapore Dollar," Finance Working Papers 22571, East Asian Bureau of Economic Research.
  112. Jochen Krause & Marc S. Paolella, 2014. "A Fast, Accurate Method for Value-at-Risk and Expected Shortfall," Econometrics, MDPI, Open Access Journal, vol. 2(2), pages 98-122, June.
  113. Broto Carmen & Ruiz Esther, 2009. "Testing for Conditional Heteroscedasticity in the Components of Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(2), pages 1-30, May.
  114. F. Fornari & A. Mele, 2000. "Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations," THEMA Working Papers 2000-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  115. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2011. "Multivariate fractionally integrated APARCH modeling of stock market volatility: A multi-country study," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 147-159, January.
  116. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.
  117. Mark J. Jensen, 1998. "An Approximate Wavelet MLE of Short and Long Memory Parameters," Econometrics 9802003, EconWPA, revised 21 Jun 1999.
  118. BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," CORE Discussion Papers 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  119. Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
  120. Jianxin Wang & Minxian Yang, 2012. "On the Risk Return Relationship," Discussion Papers 2012-31, School of Economics, The University of New South Wales.
  121. Christian de Peretti, 2003. "Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 187-212, October.
  122. Debabrata Mukhopadhyay & Nityananda Sarkar, 2013. "Stock Returns Under Alternative Volatility and Distributional Assumptions: The Case for India," International Econometric Review (IER), Econometric Research Association, vol. 5(1), pages 1-19, April.
  123. A. Saichev & D. Sornette, 2012. "A simple microstructure return model explaining microstructure noise and Epps effects," Papers 1202.3915, arXiv.org.
  124. WANG, Shin-Huei & BAUWENS, Luc & HSIAO, Cheng, 2012. "Forecasting long memory processes subject to structural breaks," CORE Discussion Papers 2012048, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  125. Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 2002-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
  126. Junior Ojeda & Gabriel Rodriguez, 2014. " An Application of a Random Level Shifts Model to the Volatility of Peruvian Stock and Exchange Rates Returns," Documentos de Trabajo / Working Papers 2014-383, Departamento de Economía - Pontificia Universidad Católica del Perú.
  127. repec:hal:journl:halshs-00469529 is not listed on IDEAS
  128. Wei, Yu & Wang, Yudong & Huang, Dengshi, 2011. "A copula–multifractal volatility hedging model for CSI 300 index futures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4260-4272.
  129. Korkie, Bob & Sivakumar, Ranjini & Turtle, Harry, 2002. "The dual contributions of information instruments in return models: magnitude and direction predictability," Journal of Empirical Finance, Elsevier, vol. 9(5), pages 511-523, December.
  130. Stavros Degiannakis & Christos Floros & Alexandra Livada, 2012. "Evaluating value-at-risk models before and after the financial crisis of 2008: International evidence," Managerial Finance, Emerald Group Publishing, vol. 38(3), pages 436-452, March.
  131. Henryk Gurgul & Tomasz Wojtowicz, 2006. "Long-run properties of trading volume and volatility of equities listed in DJIA index," Operations Research and Decisions, Wroclaw University of Technology, Institute of Organization and Management, vol. 3, pages 29-56.
  132. Nasr, Adnen Ben & Lux, Thomas & Ajm, Ahdi Noomen & Gupta, Rangan, 2014. "Forecasting the volatility of the dow jones islamic stock market index: Long memory vs. regime switching," Economics Working Papers 2014-07, Christian-Albrechts-University of Kiel, Department of Economics.
  133. Michael McAleer, 2009. "The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges," CARF F-Series CARF-F-164, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  134. Gil-Alana, Luis A. & Tripathy, Trilochan, 2014. "Modelling volatility persistence and asymmetry: A Study on selected Indian non-ferrous metals markets," Resources Policy, Elsevier, vol. 41(C), pages 31-39.
  135. repec:ecu:wpaper:2010-03 is not listed on IDEAS
  136. Youwei Li & Bas Donkers & Bertrand Melenberg, 2010. "Econometric analysis of microscopic simulation models," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1187-1201.
  137. Tseng, Jie-Jun & Li, Sai-Ping, 2011. "Asset returns and volatility clustering in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(7), pages 1300-1314.
  138. Casas, Isabel & Gao, Jiti, 2008. "Econometric estimation in long-range dependent volatility models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 72-83, November.
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