{"id":"https://openalex.org/W1995460283","doi":"https://doi.org/10.2139/ssrn.1150049","title":"Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model","display_name":"Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model","publication_year":2008,"publication_date":"2008-01-01","ids":{"openalex":"https://openalex.org/W1995460283","doi":"https://doi.org/10.2139/ssrn.1150049","mag":"1995460283"},"language":"en","primary_location":{"id":"doi:10.2139/ssrn.1150049","doi":"https://doi.org/10.2139/ssrn.1150049","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1150049","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"volume":null,"type":"preprint","indexed_in":["crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.1150049","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066378717","display_name":"Bent Jesper Christensen","orcid":"https://orcid.org/0000-0001-8448-9752","observed_orcids":["https://orcid.org/0000-0001-8448-9752"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Bent Jesper Christensen","raw_affiliation_strings":["Aarhus University, Fuglesangs Alle 4, DK-8210 Aarhus V, 8210, Denmark","Aarhus University"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Aarhus University, Fuglesangs Alle 4, DK-8210 Aarhus V, 8210, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Aarhus University","institution_ids":["https://openalex.org/I204337017"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5010212537","display_name":"Morten \u00d8rregaard Nielsen","orcid":"https://orcid.org/0000-0002-1337-9844","observed_orcids":["https://orcid.org/0000-0002-1337-9844"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":true,"raw_author_name":"Morten Orregaard Nielsen","raw_affiliation_strings":["Aarhus University - Department of Economics and Business Economics"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Aarhus University - Department of Economics and Business Economics","institution_ids":["https://openalex.org/I204337017"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5102856005","display_name":"Jie Jiang Zhu","orcid":"https://orcid.org/0000-0003-4336-2514","observed_orcids":["https://orcid.org/0000-0003-4336-2514"]},"institutions":[{"id":"https://openalex.org/I204337017","display_name":"Aarhus University","ror":"https://ror.org/01aj84f44","country_code":"DK","type":"education","lineage":["https://openalex.org/I204337017"]}],"countries":["DK"],"is_corresponding":false,"raw_author_name":"Jie Zhu","raw_affiliation_strings":["Aarhus University - CREATES, School of Economics and Management, Building 1322, Bartholins Alle 10, DK-8000 Aarhus C, Denmark","University of Aarhus - School of Economics and Management, Building 1323, Room 226, Aarhus, 8000, Denmark","Aarhus University - CREATES","University of Aarhus - School of Economics and Management"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Aarhus University - CREATES, School of Economics and Management, Building 1322, Bartholins Alle 10, DK-8000 Aarhus C, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"University of Aarhus - School of Economics and Management, Building 1323, Room 226, Aarhus, 8000, Denmark","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"Aarhus University - CREATES","institution_ids":["https://openalex.org/I204337017"]},{"raw_affiliation_string":"University of Aarhus - School of Economics and Management","institution_ids":["https://openalex.org/I204337017"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5010212537"],"corresponding_institution_ids":["https://openalex.org/I204337017"],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11270","display_name":"Complex Systems and Time Series Analysis","score":9.999999747378752e-05,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/long-range-dependence","display_name":"long-range dependence","score":0.9549999833106995},{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.9879999756813049},{"id":"https://openalex.org/keywords/daily-stock-returns","display_name":"daily stock returns","score":0.8040000200271606},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.9070000052452087}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.782771110534668},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.6424473524093628},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5966856479644775},{"id":"https://openalex.org/C192620184","wikidata":"https://www.wikidata.org/wiki/Q7940002","display_name":"Volatility swap","level":4,"score":0.549319326877594},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.5456346869468689},{"id":"https://openalex.org/C44731940","wikidata":"https://www.wikidata.org/wiki/Q7940001","display_name":"Volatility risk premium","level":4,"score":0.5399425625801086},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5157942771911621},{"id":"https://openalex.org/C165603445","wikidata":"https://www.wikidata.org/wiki/Q7915766","display_name":"Variance swap","level":5,"score":0.4820343255996704},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.46452534198760986},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.44819819927215576},{"id":"https://openalex.org/C2986394398","wikidata":"https://www.wikidata.org/wiki/Q1805477","display_name":"Long memory","level":3,"score":0.4471842050552368},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.34829115867614746}],"mesh":[],"locations_count":10,"locations":[{"id":"doi:10.2139/ssrn.1150049","doi":"https://doi.org/10.2139/ssrn.1150049","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1150049","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:ags:quedwp:273693","doi":null,"is_oa":false,"landing_page_url":"http://ageconsearch.umn.edu/record/273693/files/qed_wp_1207.pdf","pdf_url":"http://ageconsearch.umn.edu/record/273693/files/qed_wp_1207.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:aah:create:2007-10","doi":null,"is_oa":false,"landing_page_url":"https://repec.econ.au.dk/repec/creates/rp/07/rp07_10.pdf","pdf_url":"https://repec.econ.au.dk/repec/creates/rp/07/rp07_10.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:RePEc:qed:wpaper:1207","doi":null,"is_oa":false,"landing_page_url":"https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1207.pdf","pdf_url":"https://www.econ.queensu.ca/sites/econ.queensu.ca/files/qed_wp_1207.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.186.8226","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.186.8226","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.stat.uiowa.edu/timeseries/abstracts/christensen-paper.pdf","raw_type":"text"},{"id":"pmh:oai:ageconsearch.umn.edu:273693","doi":null,"is_oa":true,"landing_page_url":"http://ageconsearch.umn.edu/record/273693","pdf_url":null,"source":{"id":"https://openalex.org/S4306401616","display_name":"AgEcon Search (University of Minnesota, USA)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210120349","host_organization_name":"University of Minnesota Rochester","host_organization_lineage":["https://openalex.org/I4210120349"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-nc-nd","license_id":"https://openalex.org/licenses/cc-by-nc-nd","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://ageconsearch.umn.edu/record/273693","raw_type":"Text"},{"id":"pmh:oai:RePEc:eee:empfin:v:17:y:2010:i:3:p:460-470","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0927-5398(09)00071-1","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:econstor.eu:10419/67753","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10419/67753","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"doc-type:workingPaper"},{"id":"pmh:oai:pure.atira.dk:publications/d19e73d0-18d7-11dc-bee9-02004c4f4f50","doi":null,"is_oa":false,"landing_page_url":"https://pure.au.dk/portal/en/publications/d19e73d0-18d7-11dc-bee9-02004c4f4f50","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Christensen, B J, Nielsen, M \u00d8 & Zhu, J 2007 'Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model' Institut for \u00d8konomi, Aarhus Universitet, Aarhus. < ftp://ftp.econ.au.dk/creates/rp/07/rp07_10.pdf >","raw_type":"info:eu-repo/semantics/workingPaper"},{"id":"doi:10.22004/ag.econ.273693","doi":"https://doi.org/10.22004/ag.econ.273693","is_oa":true,"landing_page_url":"https://doi.org/10.22004/ag.econ.273693","pdf_url":null,"source":{"id":"https://openalex.org/S4306401616","display_name":"AgEcon Search (University of Minnesota, USA)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I4210120349","host_organization_name":"University of Minnesota Rochester","host_organization_lineage":["https://openalex.org/I4210120349"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.2139/ssrn.1150049","doi":"https://doi.org/10.2139/ssrn.1150049","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.1150049","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"acceptedVersion","is_accepted":true,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":64,"referenced_works":["https://openalex.org/W1491088875","https://openalex.org/W1495222664","https://openalex.org/W1528483323","https://openalex.org/W1563562231","https://openalex.org/W1569618047","https://openalex.org/W1599337404","https://openalex.org/W1607352781","https://openalex.org/W1879215575","https://openalex.org/W1964496568","https://openalex.org/W1968906460","https://openalex.org/W1969604147","https://openalex.org/W1969960895","https://openalex.org/W1971975746","https://openalex.org/W1979575715","https://openalex.org/W1991113488","https://openalex.org/W1998968611","https://openalex.org/W1999814123","https://openalex.org/W1999996900","https://openalex.org/W2000088897","https://openalex.org/W2004530264","https://openalex.org/W2010030142","https://openalex.org/W2011586511","https://openalex.org/W2013134717","https://openalex.org/W2044117118","https://openalex.org/W2061160212","https://openalex.org/W2065194732","https://openalex.org/W2094450595","https://openalex.org/W2104499761","https://openalex.org/W2107425348","https://openalex.org/W2112298479","https://openalex.org/W2113208252","https://openalex.org/W2122679841","https://openalex.org/W2126388986","https://openalex.org/W2129249812","https://openalex.org/W2134807435","https://openalex.org/W2135808131","https://openalex.org/W2137294934","https://openalex.org/W2139395482","https://openalex.org/W2144176130","https://openalex.org/W2151773821","https://openalex.org/W2168956349","https://openalex.org/W2255402581","https://openalex.org/W2266391215","https://openalex.org/W2567773670","https://openalex.org/W2891277411","https://openalex.org/W3005117407","https://openalex.org/W3021938903","https://openalex.org/W3022297202","https://openalex.org/W3022494523","https://openalex.org/W3022754635","https://openalex.org/W3023352629","https://openalex.org/W3121364726","https://openalex.org/W3121451334","https://openalex.org/W3121766225","https://openalex.org/W3121918541","https://openalex.org/W3122165762","https://openalex.org/W3122210516","https://openalex.org/W3122251927","https://openalex.org/W3122307928","https://openalex.org/W3123270401","https://openalex.org/W3125457405","https://openalex.org/W3125498299","https://openalex.org/W3125782852","https://openalex.org/W3126027153"],"related_works":["https://openalex.org/W1165156456","https://openalex.org/W1642497390","https://openalex.org/W15048612","https://openalex.org/W2299498457","https://openalex.org/W1969833806","https://openalex.org/W1631400880","https://openalex.org/W4388114226","https://openalex.org/W2013303444","https://openalex.org/W6981534988","https://openalex.org/W3088172361"],"abstract_inverted_index":null,"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2016-06-24T00:00:00"}
