) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …

The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over … long memory stochastic volatility models has led to the fact that the actual degree of memory estimates has rarely been … realized volatility and the potential of spurious long memory. In this paper we provide a comprehensive analysis of the memory …

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 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 …

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 …

) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …