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A long memory property of stock market returns and a new model

19933,278 citationsJournal Article

Authors

Zhuanxin Ding · University of California, San Diego

Clive W. J. Granger · University of California, San Diego

Robert F. Engle · University of California, San Diego

Topics & Keywords

Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Market Dynamics and Volatility

Publication Details

Published in: Journal of Empirical Finance

Volume 1, Issue 1, pp. 83-106

DOI: 10.1016/0927-5398(93)90006-d

Field-Weighted Citation Impact: 85.06

A long memory property of stock market returns and a new model | Researchclopedia