Tracing the Source of Long Memory in Volatility
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Cited by:
- Rohit Deo & Meng-Chen Hsieh & Clifford M. Hurvich & Philippe Soulier, 2007. "Long Memory in Nonlinear Processes," Papers 0706.1836, arXiv.org.
- Rohit Deo & Clifford Hurvich & Philippe Soulier & Yi Wang, 2005. "Propagation of Memory Parameter from Durations to Counts," Econometrics 0511010, University Library of Munich, Germany.
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JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2005-01-16 (Econometrics)
- NEP-ETS-2005-01-16 (Econometric Time Series)
- NEP-FIN-2005-01-16 (Finance)
- NEP-FMK-2005-01-16 (Financial Markets)
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