Modeling volatility persistence of speculative returns: A new approach

1996/07/01 by Zhuanxin Ding, Clive W. J. Granger, Clive W.J. Granger · 6 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Market Dynamics and Volatility

paper · doi:10.1016/0304-4076(95)01737-2

crossref issued 1996/07/01 · crossref published 1996/07/01 · crossref published-print 1996/07/01 · openalex publication_date 1996/07/01 · crossref created 2003/04/07 · crossref deposited 2019/04/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/23 · crossref indexed 2026/08/04

Citations

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Generalized autoregressive conditional heteroskedasticity
• A long memory property of stock market returns and a new model

Cited by

• Aggregation of weakly dependent doubly stochastic processes
• Long memory in return volatility
• Common persistence in conditional variance: A reconsideration
• Heavy tail modeling and teletraffic data: special invited paper
• Least absolute deviations estimation via the EM algorithm
• Volatility clustering [wikipedia]