FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2145796501> ?p ?o ?g. }

• W2145796501 endingPage "1024" @default.
• W2145796501 startingPage "1002" @default.
• W2145796501 abstract "Abstract: We propose generalised stochastic volatility models with Markov regime changing state equations (SVMRS) to investigate the important properties of volatility in stock returns, specifically high persistence and smoothness. The model suggests that volatility is far less persistent and smooth than the conventional GARCH or stochastic volatility. Persistent short regimes are more likely to occur when volatility is low, while far less persistence is likely to be observed in high volatility regimes. Comparison with different classes of volatility supports the SVMRS as an appropriate proxy volatility measure. Our results indicate that volatility could be far more difficult to estimate and forecast than is generally believed." @default.
• W2145796501 created "2016-06-24" @default.
• W2145796501 creator A5001318457 @default.
• W2145796501 creator A5068413727 @default.
• W2145796501 creator A5079699454 @default.
• W2145796501 date "2007-06-01" @default.
• W2145796501 modified "2023-09-27" @default.
• W2145796501 title "How Persistent is Stock Return Volatility? An Answer with Markov Regime Switching Stochastic Volatility Models" @default.
• W2145796501 cites W1566395535 @default.
• W2145796501 cites W1970694313 @default.
• W2145796501 cites W1977970167 @default.
• W2145796501 cites W1991044408 @default.
• W2145796501 cites W2012242451 @default.
• W2145796501 cites W2038509694 @default.
• W2145796501 cites W2040503026 @default.
• W2145796501 cites W2068136378 @default.
• W2145796501 cites W2068138154 @default.
• W2145796501 cites W2073361802 @default.
• W2145796501 cites W2074812030 @default.
• W2145796501 cites W2117089531 @default.
• W2145796501 cites W2117999380 @default.
• W2145796501 cites W2132090039 @default.
• W2145796501 cites W2148080284 @default.
• W2145796501 cites W2153155589 @default.
• W2145796501 cites W2155187653 @default.
• W2145796501 cites W2157895285 @default.
• W2145796501 cites W2164070899 @default.
• W2145796501 cites W2225574294 @default.
• W2145796501 cites W3122046970 @default.
• W2145796501 cites W3124952591 @default.
• W2145796501 cites W3124955081 @default.
• W2145796501 cites W3124975989 @default.
• W2145796501 cites W3125172714 @default.
• W2145796501 cites W3125435015 @default.
• W2145796501 cites W3125666236 @default.
• W2145796501 cites W3125678160 @default.
• W2145796501 cites W4234178258 @default.
• W2145796501 cites W4241115065 @default.
• W2145796501 cites W4252714669 @default.
• W2145796501 cites W4255866414 @default.
• W2145796501 cites W4379184136 @default.
• W2145796501 doi "https://doi.org/10.1111/j.1468-5957.2007.02025.x" @default.
• W2145796501 hasPublicationYear "2007" @default.
• W2145796501 type Work @default.
• W2145796501 sameAs 2145796501 @default.
• W2145796501 citedByCount "19" @default.
• W2145796501 countsByYear W21457965012013 @default.
• W2145796501 countsByYear W21457965012015 @default.
• W2145796501 countsByYear W21457965012016 @default.
• W2145796501 countsByYear W21457965012017 @default.
• W2145796501 countsByYear W21457965012021 @default.
• W2145796501 crossrefType "journal-article" @default.
• W2145796501 hasAuthorship W2145796501A5001318457 @default.
• W2145796501 hasAuthorship W2145796501A5068413727 @default.
• W2145796501 hasAuthorship W2145796501A5079699454 @default.
• W2145796501 hasConcept C105795698 @default.
• W2145796501 hasConcept C106159729 @default.
• W2145796501 hasConcept C117996083 @default.
• W2145796501 hasConcept C13290067 @default.
• W2145796501 hasConcept C149782125 @default.
• W2145796501 hasConcept C162324750 @default.
• W2145796501 hasConcept C165603445 @default.
• W2145796501 hasConcept C166957645 @default.
• W2145796501 hasConcept C192620184 @default.
• W2145796501 hasConcept C204036174 @default.
• W2145796501 hasConcept C205649164 @default.
• W2145796501 hasConcept C24189920 @default.
• W2145796501 hasConcept C33923547 @default.
• W2145796501 hasConcept C44731940 @default.
• W2145796501 hasConcept C85393063 @default.
• W2145796501 hasConcept C91602232 @default.
• W2145796501 hasConcept C98763669 @default.
• W2145796501 hasConceptScore W2145796501C105795698 @default.
• W2145796501 hasConceptScore W2145796501C106159729 @default.
• W2145796501 hasConceptScore W2145796501C117996083 @default.
• W2145796501 hasConceptScore W2145796501C13290067 @default.
• W2145796501 hasConceptScore W2145796501C149782125 @default.
• W2145796501 hasConceptScore W2145796501C162324750 @default.
• W2145796501 hasConceptScore W2145796501C165603445 @default.
• W2145796501 hasConceptScore W2145796501C166957645 @default.
• W2145796501 hasConceptScore W2145796501C192620184 @default.
• W2145796501 hasConceptScore W2145796501C204036174 @default.
• W2145796501 hasConceptScore W2145796501C205649164 @default.
• W2145796501 hasConceptScore W2145796501C24189920 @default.
• W2145796501 hasConceptScore W2145796501C33923547 @default.
• W2145796501 hasConceptScore W2145796501C44731940 @default.
• W2145796501 hasConceptScore W2145796501C85393063 @default.
• W2145796501 hasConceptScore W2145796501C91602232 @default.
• W2145796501 hasConceptScore W2145796501C98763669 @default.
• W2145796501 hasIssue "5-6" @default.
• W2145796501 hasLocation W21457965011 @default.
• W2145796501 hasOpenAccess W2145796501 @default.
• W2145796501 hasPrimaryLocation W21457965011 @default.
• W2145796501 hasRelatedWork W1520262233 @default.
• W2145796501 hasRelatedWork W1531866461 @default.
• W2145796501 hasRelatedWork W1558432738 @default.
• W2145796501 hasRelatedWork W1568116564 @default.
• W2145796501 hasRelatedWork W1746269702 @default.

• next