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20022024
most citedLong Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

103 citations · 156 across the 9 of their papers we have counts for

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cond-mat.stat-mech2006★ 21 cited

On the integrated behaviour of non-stationary volatility in stock markets

Andreia Dionisio, Rui Menezes, Diana A. Mendes

This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (Fran…