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

1993/06/01 by Zhuanxin Ding, Clive W. J. Granger, Clive W.J. Granger +1 · 12 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility

paper · doi:10.1016/0927-5398(93)90006-d

crossref issued 1993/06/01 · crossref published 1993/06/01 · crossref published-print 1993/06/01 · openalex publication_date 1993/06/01 · crossref created 2002/10/11 · crossref deposited 2019/04/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/04 · crossref indexed 2026/08/04

Citations

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroskedasticity
• Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Cited by

• Modeling volatility persistence of speculative returns: A new approach
• Inference on the tail process with application to financial time series modelling
• Forecasting with Mixed-Frequency Data
• A microscopic model of triangular arbitrage
• Quantifying stock-price response to demand fluctuations
• Long memory processes and fractional integration in econometrics
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• Testing for Neglected Nonlinearity in Long-Memory Models
• Confidence bands in nonparametric time series regression
• Mutual Information Scaling and Expressive Power of Sequence Models
• Can one make any crash prediction in finance using the local Hurst exponent idea?
• Volatility clustering [wikipedia]