Long-range dependence in the conditional variance of stock returns
type: Item
instance of: scholarly article
title: Long-range dependence in the conditional variance of stock returns
zbMATH Open document ID: 0800.62791
DOI: 10.1016/0165-1765(94)90024-8
author: Nuno Crato
author: Pedro J. F. de Lima
published in: Economics Letters
publication date: 1994-08-29T00:00:00Z
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 626204
MaRDI profile type: Publication
full work available at URL: 0165-1765(94)90024-8
OpenAlex ID: W2000088897
Wikidata QID: Q57711000
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Common Persistence in Conditional Variances
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: Long-Term Memory in Stock Market Prices
cites work: Log-periodogram regression of time series with long range dependence
description: scientific article; zbMATH DE number 626204