Volatility Puzzle: Long Memory or Antipersistency
Published Online:7 Nov 2022https://doi.org/10.1287/mnsc.2022.4552
Supplemental Material
The replication files for this article are available HERE.
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Volume 69, Issue 7
July 2023
Pages 3759-4361, iii-iv
Article Information
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- Received:January 06, 2022
- Accepted:March 03, 2022
- Published Online:November 07, 2022
Copyright © 2022, INFORMS
Cite as
Shuping Shi, Jun Yu (2022) Volatility Puzzle: Long Memory or Antipersistency. Management Science 69(7):3861-3883.
https://doi.org/10.1287/mnsc.2022.4552
Keywords
The authors thank Dacheng Xiu for providing us with the realized volatility data and Mikkel Bennedsen, Kim Christensen, Jia Li, Morten Nielsen, Peter Phillips, an associate editor, and two referees for constructive comments.
