Title:

Quantile Regression for Long Memory Testing: A Case of Realized Volatility

Authors:

Uwe Hassler (U Frankfurt)
Paulo M. M. Rodrigues (Bank of Portugal, U Nova)
Antonio Rubia (U Alicante)

Journal:

Journal Of Financial Econometrics

Year:

2016

Volume:

14

Number:

4

Pages:

693-724

JEL codes:

C58 - Financial Econometrics
G12 - Asset Pricing; Trading volume; Bond Interest Rates