Work

A Source of Long Memory in Volatility

Year: 2006

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.904582

Authors: Ser-Huang Poon, Namwon Hyung, Clive W. J. Granger

Institutions: University of Manchester, The Alan Turing Institute, University of Seoul, Tinbergen Institute, University of California San Diego

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1580289113

Cites: 90

Cited by: 22

Related to: 10