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Keyword

volatility persistence

Description: A property of financial return volatility describing how strongly elevated or subdued volatility tends to continue over time.
OpenAlex ID: keywords/volatility-persistence
Conditional Heteroskedasticity in Asset Returns: A New Approach
1991 · Daniel B. Nelson · Econometrica · 10,250
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
1993 · LAWRENCE R. GLOSTEN, RAVI JAGANNATHAN, et al. · The Journal of Finance · 9,023
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Autoregressive conditional heteroskedasticity and changes in regime
1994 · James D Hamilton, Raul Susmel · Journal of Econometrics · 1,833
Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation
1994 · CRAIG HIEMSTRA, JONATHAN D. JONES · The Journal of Finance · 1,494
Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility
2007 · Torben G. Andersen, Tim Bollerslev, et al. · The Review of Economics and Statistics · 1,447
Intraday periodicity and volatility persistence in financial markets
1997 · Torben G. Andersen, Tim Bollerslev · Journal of Empirical Finance · 1,301
Range‐Based Estimation of Stochastic Volatility Models
2002 · Sassan Alizadeh, Michael W. Brandt, et al. · The Journal of Finance · 1,215
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Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies
1998 · Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1,185
Persistence in Variance, Structural Change, and the GARCH Model
1990 · Christopher G. Lamoureux, William D. Lastrapes · Journal of Business and Economic Statistics · 1,185
Modeling volatility persistence of speculative returns: A new approach
1996 · Zhuanxin Ding, Clive W.J. Granger · Journal of Econometrics · 818
Predicting volatility: getting the most out of return data sampled at different frequencies
2005 · Eric Ghysels, Pedro Santa-Clara, et al. · Journal of Econometrics · 811
Volatility Is Rough
2018 · Jim Gatheral, Thibault Jaisson, et al. · Quantitative Finance · 790
Why is it so difficult to beat the random walk forecast of exchange rates?
2003 · Lutz Kilian, Mark P. Taylor · Journal of International Economics · 784
Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility
2015 · Andrew J. Patton, Kevin Sheppard · The Review of Economics and Statistics · 771
Autoregressive Conditional Skewness
1999 · Campbell R. Harvey, Akhtar Siddique · Journal of Financial and Quantitative Analysis · 761
Time series properties of an artificial stock market
1999 · Blake LeBaron, W.Brian Arthur, et al. · Journal of Economic Dynamics and Control · 728
What good is a volatility model?
2001 · R.F. Engle, A.J. Patton · Quantitative Finance · 691
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A Markov Model of Switching-Regime ARCH
1994 · Jun Cai · Journal of Business and Economic Statistics · 638
Volatility persistence and stock valuations: Some empirical evidence using garch
1988 · Ray Yeutien Chou · Journal of Applied Econometrics · 519
Improving GARCH volatility forecasts with regime-switching GARCH
2002 · Franc Klaassen · Empirical Economics · 487
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Stock returns and volatility in emerging financial markets
1997 · Giorgio De Santis, Selahattin i̇mrohoroǧlu · Journal of International Money and Finance · 465
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The Distribution of Exchange Rate Volatility
1999 · Torben Andersen, Tim Bollerslev, et al. · National Bureau of Economic Research · 462
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Regime Changes and Financial Markets
2012 · Andrew Ang, Allan Timmermann · Annual Review of Financial Economics · 447
Modeling The persistence Of Conditional Variances: A Comment
1986 · Francis X. Dieobold · Econometric Reviews · 437
The Persistence of Volatility and Stock Market Fluctuations
1984 · James Poterba, Lawrence Summers · National Bureau of Economic Research · 386
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Works count: 3,605
Citation count: 74,910
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