Concepedia

Long memory volatility in Chinese stock markets

Sang Hoon Kang, Chongcheul Cheong, Seong‐Min Yoon

Physica A Statistical Mechanics and its Applications · 2009 · 64 citations · 53 references

Concepts

BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsLong-memory ProcessesLong-term MemoryStochastic VolatilityVolatility AnalysisVolatility ModelingLong Memory ModelsLong-memory Stochastic VolatilityTime Series Volatility ModelingTime-varying Volatility DynamicsTime-varying Volatility Models

References

53

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

Business, Economics, Finance +12

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

Business, Economics, Finance +16

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

John Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis · 1983 · 3K citations

Business, Economics, Econometrics +16