A source of long memory in volatility

Frontiers of Economics and Globalization

Volumn 3, Issue , 2008, Pages 329-380

  Hyung, Namwon ^a   Poon, Ser Huang ^b   Granger, Clive W J ^c  

^a University of Seoul   (South Korea)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Fractional integration; Long memory; Regime switching; Structural breaks; Volatility components; Volatility forecasting

Indexed keywords

EID: 77956097340     PISSN: 15748715     EISSN: None     Source Type: Book Series    
DOI: 10.1016/S1574-8715(07)00209-6     Document Type: Review

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