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

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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).

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