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Browsing Duke Faculty Articles by Subject "Long memory"

DukeSpace

Browsing Duke Faculty Articles by Subject "Long memory"

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  • Long-Term Equity Anticipation Securities and Stock Market Volatility Dynamics
    Bollerslev, Tim; Mikkelsen, H.O. (Journal of Econometrics, 1999)
    Recent empirical "ndings suggest that the long-run dependence in U.S. stock market volatility is best described by a slowly mean-reverting fractionally integrated process. The present study complements this existing ...
  • "Modeling and Forecasting Realized Volatility"
    Bollerslev, Tim; Andersen, T.G.; Diebold, F. X.; Labys, P. (Econometrica, 2003)
    We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Most procedures for ...
  • Semiparametric Estimation of Long-Memory Volatility Dependencies
    Bollerslev, Tim; Wright, J.H. (Journal of Econometrics, 2000)
    Recent empirical studies have argued that the temporal dependencies in "nancial market volatility are best characterized by long memory, or fractionally integrated, time series models. Meanwhile, little is known about ...