Long-term memory and volatility clustering in high-frequency price changes

By Gabjin Oh, Seunghwan Kim, Cheoljun Eom. 2008

79 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/7b65cea746302711064df7609691547a7e6fd05d

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. K. Lim
2. R. Brooks
3. Jae Hyun Kim

In Finance

1. K. Lim
2. R. Brooks
3. Jae Hyun Kim

In Statistical and Nonlinear Physics

1. K. Lim
2. R. Brooks

Citations in the corpus

• The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, methodology): “Other studies with negative evidence include Barkoulas and Baum (1996), Jacobsen (1996), Kilic (2004), Ma et al. (2006), Elder and Serletis (2007), Batten et al. (2008), Granero et al. (2008), Oh et al. (2008) and Serletis et al. (2008).”