{"id":"https://openalex.org/W2016010452","doi":"https://doi.org/10.1080/096031000416398","title":"Long-term memory in stock market volatility","display_name":"Long-term memory in stock market volatility","publication_year":2000,"publication_date":"2000-09-01","ids":{"openalex":"https://openalex.org/W2016010452","doi":"https://doi.org/10.1080/096031000416398","mag":"2016010452"},"language":"en","primary_location":{"id":"doi:10.1080/096031000416398","doi":"https://doi.org/10.1080/096031000416398","is_oa":false,"landing_page_url":"https://doi.org/10.1080/096031000416398","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061166145","display_name":"Mike K. P. So","orcid":"https://orcid.org/0000-0003-0781-8166","observed_orcids":["https://orcid.org/0000-0003-0781-8166"]},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Mike K. P. So","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5061166145"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":31,"citation_normalized_percentile":{"value":0.31838474,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"10","issue":"5","first_page":"519","last_page":"524"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9702000021934509,"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":0.9702000021934509,"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":0.026200000196695328,"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"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.001500000013038516,"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"}}],"keywords":[{"id":"https://openalex.org/keywords/long-term-memory","display_name":"long-term memory","score":0.7950000166893005},{"id":"https://openalex.org/keywords/stock-market-volatility","display_name":"stock market volatility","score":0.8880000114440918},{"id":"https://openalex.org/keywords/long-range-dependence","display_name":"long-range dependence","score":0.9520000219345093},{"id":"https://openalex.org/keywords/s-p-500","display_name":"S&P 500","score":0.8389999866485596},{"id":"https://openalex.org/keywords/dow-jones-industrial-average","display_name":"Dow Jones Industrial Average","score":0.9919999837875366},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.39899998903274536},{"id":"https://openalex.org/keywords/volatility-forecasting","display_name":"volatility forecasting","score":0.8169999718666077},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.8050000071525574},{"id":"https://openalex.org/keywords/semiparametric-tests","display_name":"semiparametric tests","score":0.7480000257492065}],"concepts":[{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.8000022768974304},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6834083199501038},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6382132172584534},{"id":"https://openalex.org/C39927690","wikidata":"https://www.wikidata.org/wiki/Q11197","display_name":"Logarithm","level":2,"score":0.6283067464828491},{"id":"https://openalex.org/C22679943","wikidata":"https://www.wikidata.org/wiki/Q159375","display_name":"Standard deviation","level":2,"score":0.6179125905036926},{"id":"https://openalex.org/C120934525","wikidata":"https://www.wikidata.org/wiki/Q849149","display_name":"Absolute deviation","level":2,"score":0.5348379015922546},{"id":"https://openalex.org/C117996083","wikidata":"https://www.wikidata.org/wiki/Q5473296","display_name":"Forward volatility","level":4,"score":0.5125898718833923},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.4214160144329071},{"id":"https://openalex.org/C88389905","wikidata":"https://www.wikidata.org/wiki/Q223371","display_name":"Stock market index","level":4,"score":0.41449862718582153},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.38181254267692566},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.3808700442314148},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.35006871819496155},{"id":"https://openalex.org/C2780762169","wikidata":"https://www.wikidata.org/wiki/Q5905368","display_name":"Horse","level":2,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1080/096031000416398","doi":"https://doi.org/10.1080/096031000416398","is_oa":false,"landing_page_url":"https://doi.org/10.1080/096031000416398","pdf_url":null,"source":{"id":"https://openalex.org/S35128040","display_name":"Applied Financial Economics","issn_l":"0960-3107","issn":["0960-3107","1466-4305"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1"],"host_organization":"https://openalex.org/P4310321043","host_organization_name":"Chapman and Hall London","host_organization_lineage":["https://openalex.org/P4310321043","https://openalex.org/P4310320584"],"host_organization_lineage_names":["Chapman and Hall London","CRC Press"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Applied Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:repository.hkust.edu.hk:1783.1-57890","doi":null,"is_oa":false,"landing_page_url":"http://repository.hkust.edu.hk/ir/Record/1783.1-57890","pdf_url":null,"source":{"id":"https://openalex.org/S4306401796","display_name":"Rare & Special e-Zone (The Hong Kong University of Science and Technology)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I200769079","host_organization_name":"Hong Kong University of Science and Technology","host_organization_lineage":["https://openalex.org/I200769079"],"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:RePEc:taf:apfiec:v:10:y:2000:i:5:p:519-524","doi":null,"is_oa":false,"landing_page_url":"http://www.tandfonline.com/doi/abs/10.1080/096031000416398","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"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Industry, innovation and infrastructure","score":0.44999998807907104,"id":"https://metadata.un.org/sdg/9"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":25,"referenced_works":["https://openalex.org/W1552362148","https://openalex.org/W1875153640","https://openalex.org/W1963830889","https://openalex.org/W1969960895","https://openalex.org/W1972024464","https://openalex.org/W1973694910","https://openalex.org/W1999996900","https://openalex.org/W2005424182","https://openalex.org/W2005991364","https://openalex.org/W2009128817","https://openalex.org/W2011586511","https://openalex.org/W2023240121","https://openalex.org/W2026880145","https://openalex.org/W2030175776","https://openalex.org/W2046825833","https://openalex.org/W2075280911","https://openalex.org/W2079672223","https://openalex.org/W2079990952","https://openalex.org/W2122679841","https://openalex.org/W2127219551","https://openalex.org/W2139395482","https://openalex.org/W2147185987","https://openalex.org/W2341760625","https://openalex.org/W3122165036","https://openalex.org/W3123508581"],"related_works":["https://openalex.org/W2371417273","https://openalex.org/W3122957131","https://openalex.org/W7071783943","https://openalex.org/W2159427445","https://openalex.org/W2047022359","https://openalex.org/W2038993396","https://openalex.org/W3120046991","https://openalex.org/W1975462867","https://openalex.org/W3028341206","https://openalex.org/W4255047815"],"abstract_inverted_index":{"The":[0],"modified":[1],"rescaled":[2],"range":[3],"test":[4,12],"proposed":[5,13],"by":[6,14],"Lo":[7],"(1991)":[8],"and":[9,16,41,60,110],"the":[10,23,48,52,56,61,64,94,99],"semiparametric":[11],"Geweke":[15],"Porker-Hudak":[17],"(1983)":[18],"are":[19,68],"applied":[20],"to":[21,92,105],"detect":[22],"existence":[24],"of":[25,47,50,63,75,101],"long-term":[26,76],"dependence":[27,77],"in":[28,70,78,82,98,103],"volatility":[29,79,102,108],"for":[30],"S":[31],"&":[32],"P":[33],"500":[34],"index,":[35],"Dow":[36],"Jones":[37],"Industrial":[38],"Average":[39],"index":[40],"its":[42],"constituent":[43],"stocks.":[44],"Three":[45],"proxies":[46],"variability":[49],"returns:":[51],"absolute":[53,65],"mean":[54,58,66],"deviation,":[55],"squared":[57],"deviation":[59,67],"logarithm":[62],"adopted":[69],"this":[71],"study.":[72],"Strong":[73],"evidence":[74],"is":[80,90],"found":[81],"nearly":[83],"all":[84],"cases.":[85],"This":[86],"suggests":[87],"that":[88],"it":[89],"important":[91],"incorporate":[93],"long":[95],"memory":[96],"feature":[97],"modelling":[100],"order":[104],"produce":[106],"good":[107],"forecasts":[109],"derivative":[111],"pricing":[112],"formulas.":[113]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":1},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":3},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1},{"year":2012,"cited_by_count":2}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
