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Modeling volatility persistence of speculative returns: A new approach

1996828 citationsJournal Article

Authors

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

Topics & Keywords

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

UN Sustainable Development Goals

Partnerships for the goals

Publication Details

Published in: Journal of Econometrics

Volume 73, Issue 1, pp. 185-215

DOI: 10.1016/0304-4076(95)01737-2

Field-Weighted Citation Impact: 11.54

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