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20052016
most citedLong Memory and Volatility Clustering: is the empirical evidence consistent across stock markets?

103 citations · 211 across the 8 of their papers we have counts for

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q-fin.ST2016

Hysteresis and Duration Dependence of Financial Crises in the US: Evidence from 1871-2016

Rui Menezes, Sonia Bentes

This study analyses the duration dependence of events that trigger volatility persistence in stock markets. Such events, in our context, are monthly spells of contiguous price decl…