Modeling volatility persistence of speculative returns: a new approach
type: Item
instance of: scholarly article
title: Modeling volatility persistence of speculative returns: a new approach
zbMATH Open document ID: 1075.91626
DOI: 10.1016/0304-4076(95)01737-2
author: Zhuanxin Ding
author: Clive W. J. Granger
published in: Journal of Econometrics
publication date: 1996-01-01T00:00:00Z
Mathematics Subject Classification ID: 91B84
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 922049
zbMATH Keywords: Long memory
zbMATH Keywords: Volatility persistence
zbMATH Keywords: Autocorrelation
zbMATH Keywords: Power transformation
zbMATH Keywords: Aggregation
zbMATH Keywords: Long memory ARCH model
MaRDI profile type: Publication
full work available at URL: 0304-4076(95)01737-2
OpenAlex ID: W2065194732
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
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cites work: Varieties of long memory models
cites work: AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
cites work: Fractional differencing
cites work: Q5615180
cites work: Q5445942
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description: scientific article; zbMATH DE number 922049