Modeling long memory in stock market volatility
type: Item
instance of: scholarly article
title: Modeling long memory in stock market volatility
zbMATH Open document ID: 0958.62115
DOI: 10.1016/S0304-4076(00)00033-6
author: R. Smith
published in: Journal of Econometrics
publication date: 2001-04-08T00:00:00Z
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B26
zbMATH DE Number: 1539228
zbMATH Keywords: stochastic volatility model
zbMATH Keywords: regime switching
zbMATH Keywords: long memory
zbMATH Keywords: efficient method of moments
MaRDI profile type: Publication
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full work available at URL: s0304-4076(00)00033-6
OpenAlex ID: W2064843726
description: scientific article; zbMATH DE number 1539228