Multiscale behaviour of volatility autocorrelations in a financial market
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Publication:1606375
DOI10.1016/S0165-1765(99)00159-7zbMath1027.91515arXivcond-mat/9810232MaRDI QIDQ1606375
Michele Pasquini, Maurizio Serva
Publication date: 1 September 2002
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/9810232
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- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Long-range dependence in the conditional variance of stock returns
- The detection and estimation of long memory in stochastic volatility
- Long memory processes and fractional integration in econometrics
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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