A long memory property of stock market returns and a new model-Reference-Cited by-同舟云学术

A long memory property of stock market returns and a new model

Published:1993-06 Issue:1 Volume:1 Page:83-106
ISSN:0927-5398
Container-title:Journal of Empirical Finance
language:en
Short-container-title:Journal of Empirical Finance

Author:

Ding Zhuanxin,Granger Clive W.J.,Engle Robert F.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference30 articles.

1. Studies in stock price volatility changes;Black;Proceedings of the 1976 business meeting of the business and economics statistics section, American Statistical Association,1976

2. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

3. Variance function estimation;Davidian;Journal of American Statistical Association,1987

4. Eatwell, J., M. Milgate and P. Newman(eds.), The new palgrave: Finance (New York, Norton).

Cited by 2294 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A new bivariate approach for modeling the interaction between stock volatility and interest rate: An application to S&P500 returns and options;European Journal of Operational Research;2024-05

2. Generalized fractional negative binomial process;Statistics & Probability Letters;2024-04

3. Improving prediction efficiency of Chinese stock index futures intraday price by VIX-Lasso-GRU Model;Expert Systems with Applications;2024-03

4. Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective;Journal of International Financial Markets, Institutions and Money;2024-03

5. Intraday herding and attention around the clock;Journal of Behavioral and Experimental Finance;2024-03