Long-range dependence in the conditional variance of stock returns

DOI10.1016/0165-1765(94)90024-8zbMath0800.62791OpenAlexW2000088897WikidataQ57711000 ScholiaQ57711000MaRDI QIDQ1331844

Pedro J. F. de Lima, Nuno Crato

Publication date: 29 August 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90024-8

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (24)

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Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Log-periodogram regression of time series with long range dependence
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Long-Term Memory in Stock Market Prices
• Common Persistence in Conditional Variances

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