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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Bentes, S. R., Menezes, R. & Mendes, D. A. (2008). Long memory and volatility clustering: is the empirical evidence consistent across stock markets?. Physica A. 387 (15), 3826-3830
Exportar Referência (IEEE) 
S. M. Bentes et al.,  "Long memory and volatility clustering: is the empirical evidence consistent across stock markets?", in Physica A, vol. 387, no. 15, pp. 3826-3830, 2008
Exportar BibTeX 
@article{bentes2008_1731867590464,
	author = "Bentes, S. R. and Menezes, R. and Mendes, D. A.",
	title = "Long memory and volatility clustering: is the empirical evidence consistent across stock markets?",
	journal = "Physica A",
	year = "2008",
	volume = "387",
	number = "15",
	doi = "10.1016/j.physa.2008.01.046",
	pages = "3826-3830",
	url = "http://www.sciencedirect.com/science/article/pii/S0378437108000769"
}
Exportar RIS 
TY  - JOUR
TI  - Long memory and volatility clustering: is the empirical evidence consistent across stock markets?
T2  - Physica A
VL  - 387
IS  - 15
AU  - Bentes, S. R.
AU  - Menezes, R.
AU  - Mendes, D. A.
PY  - 2008
SP  - 3826-3830
SN  - 0378-4371
DO  - 10.1016/j.physa.2008.01.046
UR  - http://www.sciencedirect.com/science/article/pii/S0378437108000769
AB  - Long memory and volatility clustering are two stylized facts frequently related to financial markets. Traditionally, these phenomena have been studied based on conditionally heteroscedastic models like ARCH, GARCH, IGARCH and FIGARCH, inter alia. One advantage of these models is their ability to capture nonlinear dynamics. Another interesting manner to study the volatility phenomenon is by using measures based on the concept of entropy. In this paper we investigate the long memory and volatility clustering for the SP 500, NASDAQ 100 and Stoxx 50 indexes in order to compare the US and European Markets. Additionally, we compare the results from conditionally heteroscedastic models with those from the entropy measures. In the latter, we examine Shannon entropy, Renyi entropy and Tsallis entropy. The results corroborate the previous evidence of nonlinear dynamics in the time series considered.
ER  -