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 …

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 …

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root … conditional heteroskedasticity). The paper explores the influence of time-varying volatility on fractionally integrated processes …. Concretely, we discuss how to model long memory in the presence of time-varying volatility, and analyze the effects of such …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased signi cantly after … positive excess kurtosis and GARCH-e ects when persistence increases. …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after … positive excess kurtosis and GARCH-e ects when persistence increases. …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased significantly after … evidence for positive excess kurtosis and GARCH-effects when persistence increases. …

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy … between 2006 and 2008. The persistence of the yield spreads against German government bonds has increased signi cantly after … positive excess kurtosis and GARCH-e ects when persistence increases. …

We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is … 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 …