Modeling volatility persistence of speculative returns: a new approach

DOI10.1016/0304-4076(95)01737-2zbMath1075.91626OpenAlexW2065194732MaRDI QIDQ1922363

Publication date: 1996

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

Full work available at URL: https://doi.org/10.1016/0304-4076(95)01737-2

zbMATH Keywords

Long memory Aggregation Autocorrelation Volatility persistence Long memory ARCH model Power transformation

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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