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Long memory and periodicity in intraday volatility
Rossi, Eduardo; Fantazzini, Dean - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 922-961
Persistent link: https://www.econbiz.de/10011417840
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Recursive right-tailed unit root tests for an explosive asset price bubble
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 166-187
Persistent link: https://www.econbiz.de/10010519657
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LARCH, leverage, and long memory
Giraitis, Liudas; Leipus, Remigijus; Robinson, Peter M.; … - In: Journal of financial econometrics : official journal of … 2 (2004) 2, pp. 177-210
Persistent link: https://www.econbiz.de/10002214253