Modeling and pricing long memory in stock market volatility

DOI10.1016/0304-4076(95)01736-4zbMath0960.62560OpenAlexW2139395482WikidataQ56763925 ScholiaQ56763925MaRDI QIDQ1922362

Hans Ole Mikkelsen, Tim Bollerslev

Publication date: 17 May 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01736-4

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

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