Volatility persistance in asset markets Long memory in high/low prices

Price volatility and futures margins

Hardouvelis, G.
Kim, D
Centre for Economic Policy Research, London (United Kingdom)

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--1263) / BLDSC - B...

Essays on long memory processes and volatility

Hwang, S.

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:D204268 / BLDSC - British Library Doc...

An asset-pricing approach to estimating the persistence in expected returns

Priestley, R.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(97-01) / BLDSC - British Li...

UK asset price volatility over the last 50 years

Anderson, N.
Breedon, F
Bank of England, London (United Kingdom)

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.8308(BE-WP--51) / BLDSC - Britis...

Persistence and volatility in short-term interest rates

Panigirtzoglou, N.
Proudman, J.
Spicer, J.
Bank of England, London (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.8308(no 116) / BLDSC - British L...

Limited market participation and volatility of asset prices

Gale, D
Allen, F.
London School of Economics (United Kingdom). Financial Markets Group

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--165) / BLDSC - ...

Asset holding and consumption volatility

Attanasio, O.
Banks, J.
Tanner, S.
Institute for Fiscal Studies, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(98/9) / BLDSC - British L...

Information, interest rates and the volatility of asset prices

Copeland, L.S.
Stapleton, R.C.
Stirling Univ. (United Kingdom). Dept. of Accountancy and Finance

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.214405(9202) / BLDSC - British L...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Sola, M
Psaradakis, Z.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

Available from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/394) / BLDSC - Briti...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Psaradakis, Z.
Sola, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--12-95) / BLDSC...

Persistence in UK stock market returns An aggregated and disaggregated perspective

MacDonald, R.
Power, D
Dundee Univ. (United Kingdom). Dept. of Economics and Management

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:3631.125105(19) / BLDSC - British Li...

The persistence of volatility in the US term premium 1970-1986

Tzavalis, E.
Wickens, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--11/93) / BLDSC...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

Gaussian estimation of long-range dependent volatility in asset prices

Zaffaroni, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(329) / BLDSC - British Libra...

Price volatility and futures margins

Hardouvelis, G.
Kim, D
Centre for Economic Policy Research, London (United Kingdom)

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--1263) / BLDSC - B...

Essays on long memory processes and volatility

Hwang, S.

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:D204268 / BLDSC - British Library Doc...

An asset-pricing approach to estimating the persistence in expected returns

Priestley, R.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(97-01) / BLDSC - British Li...

UK asset price volatility over the last 50 years

Anderson, N.
Breedon, F
Bank of England, London (United Kingdom)

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.8308(BE-WP--51) / BLDSC - Britis...

Persistence and volatility in short-term interest rates

Panigirtzoglou, N.
Proudman, J.
Spicer, J.
Bank of England, London (United Kingdom)

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.8308(no 116) / BLDSC - British L...

Limited market participation and volatility of asset prices

Gale, D
Allen, F.
London School of Economics (United Kingdom). Financial Markets Group

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:5300.405(LSE-FMG-DP--165) / BLDSC - ...

Asset holding and consumption volatility

Attanasio, O.
Banks, J.
Tanner, S.
Institute for Fiscal Studies, London (United Kingdom)

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:4363.343505(98/9) / BLDSC - British L...

Information, interest rates and the volatility of asset prices

Copeland, L.S.
Stapleton, R.C.
Stirling Univ. (United Kingdom). Dept. of Accountancy and Finance

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.214405(9202) / BLDSC - British L...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Sola, M
Psaradakis, Z.
Bristol Univ. (United Kingdom). Dept. of Economics

January 1995

Available from British Library Document Supply Centre- DSC:3597.76(BU-DE-DP--95/394) / BLDSC - Briti...

The memory of stochastic volatility models

Robinson, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 2001

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(01/410) / BLDSC - British Li...

Modelling long memory in stock market volatility A fractionally integrated generalised arch approach

Psaradakis, Z.
Sola, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--12-95) / BLDSC...

Persistence in UK stock market returns An aggregated and disaggregated perspective

MacDonald, R.
Power, D
Dundee Univ. (United Kingdom). Dept. of Economics and Management

January 1990

SIGLEAvailable from British Library Document Supply Centre- DSC:3631.125105(19) / BLDSC - British Li...

The persistence of volatility in the US term premium 1970-1986

Tzavalis, E.
Wickens, M
London Business School (United Kingdom). Centre for Economic Forecasting

January 1993

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.3859(LBS-CEF-DP--11/93) / BLDSC...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

Gaussian estimation of long-range dependent volatility in asset prices

Zaffaroni, P.
London School of Economics and Political Science (United Kingdom). Suntory-Toyota International Centres for Economics and Related Disciplines

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.442(329) / BLDSC - British Libra...

Price volatility and futures margins

Hardouvelis, G.
Kim, D
Centre for Economic Policy Research, London (United Kingdom)

January 1995

SIGLEAvailable from British Library Document Supply Centre- DSC:3597.9512(CEPR-DP--1263) / BLDSC - B...

Essays on long memory processes and volatility

Hwang, S.

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:D204268 / BLDSC - British Library Doc...

An asset-pricing approach to estimating the persistence in expected returns

Priestley, R.
Brunel Univ., Uxbridge (United Kingdom). Centre for Empirical Research in Finance

January 1997

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.0904(97-01) / BLDSC - British Li...

Volatility persistance in asset markets Long memory in high/low prices

Abstract

Extracted data

Volatility persistance in asset markets Long memory in high/low prices

Abstract

Extracted data

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