small minority of different cases. Investigating further we find that all volatility series show persistence breaks during …

This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …-section. Buying stocks with shorter memory and selling stocks with longer memory in volatility generates significant excess returns of …

, Zeitreihenanalyse …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long … memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic …

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …