Matches in SemOpenAlex for { <https://semopenalex.org/work/W3023352629> ?p ?o ?g. }
- W3023352629 endingPage "700" @default.
- W3023352629 startingPage "684" @default.
- W3023352629 abstract "Recent empirical evidence demonstrates the presence of an important long-memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short lived, in spite of a positive risk-return tradeoff and long memory in volatility." @default.
- W3023352629 created "2020-05-13" @default.
- W3023352629 creator A5010212537 @default.
- W3023352629 creator A5066378717 @default.
- W3023352629 date "2007-11-01" @default.
- W3023352629 modified "2023-10-16" @default.
- W3023352629 title "The Effect of Long Memory in Volatility on Stock Market Fluctuations" @default.
- W3023352629 cites W1963787328 @default.
- W3023352629 cites W1966268097 @default.
- W3023352629 cites W1967840747 @default.
- W3023352629 cites W1969604147 @default.
- W3023352629 cites W1969960895 @default.
- W3023352629 cites W1973694910 @default.
- W3023352629 cites W1994281962 @default.
- W3023352629 cites W1998968611 @default.
- W3023352629 cites W2000088897 @default.
- W3023352629 cites W2010030142 @default.
- W3023352629 cites W2011586511 @default.
- W3023352629 cites W2013134717 @default.
- W3023352629 cites W2034358898 @default.
- W3023352629 cites W2034548275 @default.
- W3023352629 cites W2044117118 @default.
- W3023352629 cites W2049057506 @default.
- W3023352629 cites W2055781590 @default.
- W3023352629 cites W2057418282 @default.
- W3023352629 cites W2065194732 @default.
- W3023352629 cites W2068138154 @default.
- W3023352629 cites W2077655468 @default.
- W3023352629 cites W2084931349 @default.
- W3023352629 cites W2112298479 @default.
- W3023352629 cites W2113208252 @default.
- W3023352629 cites W2116807840 @default.
- W3023352629 cites W2122679841 @default.
- W3023352629 cites W2134807435 @default.
- W3023352629 cites W2140585983 @default.
- W3023352629 cites W2891277411 @default.
- W3023352629 cites W3022041122 @default.
- W3023352629 cites W3095114851 @default.
- W3023352629 cites W3121364726 @default.
- W3023352629 cites W3121451334 @default.
- W3023352629 cites W3121766225 @default.
- W3023352629 cites W3121918541 @default.
- W3023352629 cites W3122091423 @default.
- W3023352629 cites W3122154929 @default.
- W3023352629 cites W3122281927 @default.
- W3023352629 cites W3122291403 @default.
- W3023352629 cites W3123448183 @default.
- W3023352629 cites W3124382769 @default.
- W3023352629 cites W3124955081 @default.
- W3023352629 cites W3125626463 @default.
- W3023352629 cites W4242671632 @default.
- W3023352629 cites W4249852316 @default.
- W3023352629 doi "https://doi.org/10.1162/rest.89.4.684" @default.
- W3023352629 hasPublicationYear "2007" @default.
- W3023352629 type Work @default.
- W3023352629 sameAs 3023352629 @default.
- W3023352629 citedByCount "59" @default.
- W3023352629 countsByYear W30233526292012 @default.
- W3023352629 countsByYear W30233526292013 @default.
- W3023352629 countsByYear W30233526292014 @default.
- W3023352629 countsByYear W30233526292015 @default.
- W3023352629 countsByYear W30233526292016 @default.
- W3023352629 countsByYear W30233526292017 @default.
- W3023352629 countsByYear W30233526292018 @default.
- W3023352629 countsByYear W30233526292019 @default.
- W3023352629 countsByYear W30233526292020 @default.
- W3023352629 countsByYear W30233526292021 @default.
- W3023352629 countsByYear W30233526292022 @default.
- W3023352629 countsByYear W30233526292023 @default.
- W3023352629 crossrefType "journal-article" @default.
- W3023352629 hasAuthorship W3023352629A5010212537 @default.
- W3023352629 hasAuthorship W3023352629A5066378717 @default.
- W3023352629 hasConcept C106159729 @default.
- W3023352629 hasConcept C117996083 @default.
- W3023352629 hasConcept C119857082 @default.
- W3023352629 hasConcept C127413603 @default.
- W3023352629 hasConcept C13290067 @default.
- W3023352629 hasConcept C149782125 @default.
- W3023352629 hasConcept C151730666 @default.
- W3023352629 hasConcept C153083717 @default.
- W3023352629 hasConcept C162324750 @default.
- W3023352629 hasConcept C192620184 @default.
- W3023352629 hasConcept C204036174 @default.
- W3023352629 hasConcept C24189920 @default.
- W3023352629 hasConcept C2780299701 @default.
- W3023352629 hasConcept C2780762169 @default.
- W3023352629 hasConcept C2986394398 @default.
- W3023352629 hasConcept C41008148 @default.
- W3023352629 hasConcept C44731940 @default.
- W3023352629 hasConcept C78519656 @default.
- W3023352629 hasConcept C85393063 @default.
- W3023352629 hasConcept C86803240 @default.
- W3023352629 hasConcept C91602232 @default.
- W3023352629 hasConceptScore W3023352629C106159729 @default.
- W3023352629 hasConceptScore W3023352629C117996083 @default.
- W3023352629 hasConceptScore W3023352629C119857082 @default.
- W3023352629 hasConceptScore W3023352629C127413603 @default.
- W3023352629 hasConceptScore W3023352629C13290067 @default.