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Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
Granger, C. W. J.; Hyung, Namwon - In: Journal of empirical finance 11 (2004) 3, pp. 399-421
Persistent link: https://www.econbiz.de/10002050373
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A long memory property of stock market returns and a new model
Ding, Zhuanxin - In: Journal of empirical finance 1 (1993) 1, pp. 83-106
Persistent link: https://www.econbiz.de/10001146683
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Volatility estimation via hidden Markov models
Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10003296949
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Volatility estimation via hidden Markov models
Rossi, Alessandro; Gallo, Giampiero M. - In: Journal of empirical finance 13 (2006) 2, pp. 203-230
Persistent link: https://www.econbiz.de/10007225581