[journal]
Andersen, T.G.
/ 2001
/ The distribution of realized stock return volatility
/ Journal of Financial Economics
61
: 43~76
[journal]
Andersen, T.G.
/ 2001
/ The distribution of realized exchange rate volatility
/ Journal of American Statistical Association
96
: 42~55
[journal]
Andersen, T.G.
/ 2003
/ Modeling and forecasting realized volatility
/ Econometrica
71
: 579~625
[journal]
Areal, N.M.P.C.
/ 2002
/ The realized volatility of FTSE-100 futures prices
/ Journal of Futures Markets
22
: 627~648
[journal]
Bai, J.
/ 1998
/ Estimating and testing linear models with multiple structural changes
/ Econometrica
66
: 47~78
[journal]
Bai, J.
/ 2003
/ Computation and analysis of multiple structural change models
/ Journal of Applied Econometrics
18
: 1~22
[journal]
Baillie, R.T.
/ 1996
/ Fractionally integrated generalized autoregressive conditional heteroskedasticity
/ Journal of Econometrics
74
: 3~30
[journal]
Bali, T.
/ 2005
/ The empirical performance of alternative extremevalue volatility estimators
/ Journal of Futures Markets
25
: 873~892
[journal]
Byers, J.D.
/ 2001
/ Volatility persistence in asset markets: long memory in high/low prices
/ Applied Financial Economics
11
: 253~260
[journal]
Chen, Z.
/ 2006
/ Persistence of volatility in futures markets
/ Journal of Futures Markets
26
: 571~594
[journal]
Choi, K.
/ 2007
/ Long memory and structural changes in the forward discount: An empirical investigation
/ Journal of International Money and Finance
26
: 342~363
[report]
Choi, K.
/ 2006
/ Long memory versus structural breaks in modeling and forecasting realized volatility
/ Winona State University
[journal]
Ding, Z.
/ 1993
/ A long memory property of stock market returns and a new model
/ Journal of Empirical Finance
1
: 83~106
[journal]
Dufrenot, G.
/ 2005
/ Modelling squared returns using a SETAR model with long-memory dynamics
/ Economics Letters
86
: 237~243
[thesis]
Ebens, H.
/ 1999
/ Realized stock volatility
/ Johns Hopkins University
[journal]
Feller, W.
/ 1951
/ The asymptotic distribution of the range of sums of independent random variables
/ Annals of Mathematical Statistics
22
: 427~432
[journal]
Garman, M.
/ 1980
/ On the estimation of security price volatilities from historical data
/ Journal of Business
53
: 67~78
[journal]
Geweke, J.
/ 1983
/ The estimation and application of long memory time series models
/ Journal of Time Series Analysis
4
: 221~237
[journal]
Granger, C.W.J.
/ 1995
/ Some properties of absolute returns: An alternative measure of risk
/ Annales d’Economie et de Statistique
40
: 67~91
[journal]
Granger, C.W.J.
/ 2004
/ Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns
/ Journal of Empirical Finan
11
: 399~421
[journal]
Granger, C.W.J.
/ 1980
/ An introduction to long memory time series and fractional differencing
/ Journal of Time Series Analysis
1
: 15~29
[journal]
Guo, W.
/ 2006
/ Identifying regime changes in market volatility
/ Journal of Financial Research
29
: 79~93
[journal]
Hosking, J.
/ 1981
/ Fractional differencing
/ Biometrika
68
: 165~176
[journal]
Hurvich, C.M.
/ 1998
/ The mean squared error of Geweke and Porter-Hudak’s estimator of the memory parameter of a long-memory time series
/ Journal of Time Series Analysis
19
: 19~46
[journal]
Kilic, R.
/ 2004
/ On the long memory properties of emerging capital markets: evidence from Istanbul stock exchange
/ Applied Financial Economics
14
: 915~922
[journal]
Kwiatkowski, D.
/ 1992
/ Testing the null hypothesis of stationarity against the alternative of a unit root
/ Journal of Econometrics
54
: 159~178
[journal]
Lamoureux, C.G.
/ 1990
/ Persistence in variance, structural change, and the GARCH model
/ Journal of Business and Economic Statistics
8
: 225~234
[journal]
Lastrapes, W.D.
/ 1989
/ Exchange rate volatility and U.S. monetary policy: An ARCH application
/ Journal of Money, Credit and Banking
21
: 66~77
[journal]
Li, K.
/ 2002
/ Long-memory vs. Option-implied volatility predictions
/ Journal of Derivatives
9
: 9~25
[journal]
Lo, A.W.
/ 1991
/ Long term memory in stock market prices
/ Econometrica
59
: 1279~1313
[journal]
Lobato, I.N.
/ 1998
/ Real and spurious long memory properties of stock market data
/ Journal of Business and Economic Statistics
16
: 261~283
[journal]
Luu, J.
/ 2003
/ Testing the mixture of distributions hypothesis using “realized”volatility
/ Journal of Futures Markets
23
: 661~679
[journal]
Nelson, C.R.
/ 1982
/ Trends and random walks in macroeconomic time series: some evidence and implications
/ Journal of Monetary Economics
10
: 139~162
[journal]
Parkinson, M.
/ 1980
/ The extreme value method for estimating the variance of the rate of return
/ Journal of Business
53
: 61~68
[journal]
Perron, P.
/ 1989
/ The Great Crash, the Oil Price shock, and the unit-root hypothesis
/ Econometrica
57
: 1361~1401
[journal]
Rogers, L.C.G
/ 1991
/ Estimating variance from high, low and closing prices
/ Annals of Applied Probability
1
: 504~512
[journal]
Rogers, L.C.G.
/ 1994
/ Estimating the volatility of stock prices: a comparison of methods that use high and low prices
/ Applied Financial Economics
4
: 241~247
[journal]
Shu, J.
/ 2006
/ Testing range estimators of historical volatility
/ Journal of Futures Markets
26
: 297~313
[journal]
Taylor, S.J.
/ 1987
/ Forecasting the volatility of currency exchange rates
/ International Journal of Forecasting
3
: 159~170
[journal]
Wiggins, J.B.
/ 1991
/ Empirical tests of the bias and efficiency of the extreme-value variance estimator for common stocks
/ Journal of Business
64
: 417~432
[journal]
Wiggins, J.B.
/ 1992
/ Estimating the volatility of S&P 500 futures prices using the extremevalue method
/ Journal of Futures Markets
12
: 265~273
[journal]
Yang, D.
/ 2000
/ Drift independent volatility estimation based on high, low, open and close prices
/ Journal of Business
73
: 477~491
[journal]
Zivot, E.
/ 1992
/ Further evidence on the Great Crash, the Oil- Price Shock, and the unit-root hypothesis
/ Journal of Business and Economic Statistics
10
: 251~270