Concepedia

Long-memory Stochastic Volatility

Long-Memory Stochastic Volatility is a stochastic volatility model characterized by a volatility process that exhibits long-range dependence, distinguishing it from short-memory counterparts by capturing persistent autocorrelation in the volatility dynamics over extended time horizons.

220

Publications

21.2K

Citations

354

Authors

284

Institutions

Publications per year

2017–2026

40

Parents

Publications

220

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

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

, , +16

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

, , +14

Long memory relationships and the aggregation of dynamic models

Clive W. J. Granger · Journal of Econometrics · 1980 · 1.5K citations

, , +13

Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns

Clive W. J. Granger, Namwon Hyung · Journal of Empirical Finance · 2004 · 802 citations

, , +17

Long memory in continuous‐time stochastic volatility models

Fabienne Comte, Éric Renault · Mathematical Finance · 1998 · 772 citations

, , +17

1–5 of 220

Authors

354

  1. CM
    Clifford M. Hurvich

    New York University, United States

    6 publications · 437 citations

    6

    h-index

  2. LG
    Liudas Giraitis

    London School of Economics and Political Science, United Kingdom

    6 publications · 535 citations

    6

    h-index

  3. RL
    Remigijus Leipus

    Vilnius University, Lithuania

    5 publications · 483 citations

    5

    h-index

  4. PM
    Peter M. Robinson

    London School of Economics and Political Science, United Kingdom

    5 publications · 427 citations

    5

    h-index

  5. ER
    Esther Ruiz

    Universidad Carlos III de Madrid, Spain

    4 publications · 95 citations

    4

    h-index

1–5 of 354

Institutions

284

  1. Aarhus University

    Aarhus, Denmark

    8 h-index

    13 publications

    438 citations

  2. Vilnius University

    Vilnius, Lithuania

    7 h-index

    12 publications

    629 citations

  3. New York University

    New York, United States

    7 h-index

    14 publications

    1.2K citations

  4. Imperial College London

    London, United Kingdom

    6 h-index

    7 publications

    311 citations

  5. Universidad Carlos III de Madrid

    Madrid, Spain

    6 h-index

    8 publications

    389 citations

  6. University of California San Diego

    San Diego, United States

    5 h-index

    7 publications

    12.7K citations

  7. Aix-Marseille Sciences Economiques

    Marseille, France

    5 h-index

    10 publications

    466 citations

  8. Centre National de la Recherche Scientifique

    Paris, France

    5 h-index

    6 publications

    210 citations

1–8 of 284

Venues

  1. 15

    h-index

  2. Journal of Econometrics

    15 publications · 5.6K citations

    14

    h-index

  3. SSRN Electronic Journal

    Repository · 11 publications · 349 citations

    11

    h-index

  4. Quantitative Finance

    8 publications · 468 citations

    8

    h-index

  5. Journal of Empirical Finance

    8 publications · 4.5K citations

    8

    h-index

1–5