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Crato, Nuno; de Lima, Pedro J. F.

Long-range dependence in the conditional variance of stock returns. (English) Zbl 0800.62791

Econ. Lett. 45, No. 3, 281-285 (1994).

Cited in 23 Documents

MSC:

62P20 Applications of statistics to economics
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\textit{N. Crato} and \textit{P. J. F. de Lima}, Econ. Lett. 45, No. 3, 281--285 (1994; Zbl 0800.62791)
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References:

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[2] Bollerslev, T.; Engle, R. F., Common persistence in conditional variances, Econometrica, 61, 167-186 (1993) · Zbl 0782.62102
[3] de Lima, P. F.; Crato, N., Long-memory in stock returns and volatilities (1993), paper presented at the San Francisco Joint Statistical Meeting, August 1993, forthcoming in the proceedings of the Business and Economics Statistics Section.
[4] Diebold, F. X.; Rudebusch, G. D., Long memory and persistence in aggregate output, Journal of Monetary Economics, 24, 189-209 (1989)
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[7] Lo, A. W., Long-term memory in stock market prices, Econometrica, 59, 1279-1313 (1991) · Zbl 0781.90023
[8] Robinson, P. M., Long-periodogram regression of time series with long range dependence (1993), London School of Economics · Zbl 0838.62085
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