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Modelling Short-Term Volatility with GARCH and Harch Models

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References

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2003Market heterogeneities and the causal structure of volatility114 cited
2007Estimation of an adaptive stock market model with heterogeneous agents92 cited

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2002Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos75 cited

2004Power variation and stochastic volatility: a review and some new results53 cited

2010Volatility conditional on price trends51 cited

2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects48 cited

2013Infinite-order, long-memory heterogeneous autoregressive models31 cited

1998Aggregation and model construction for volatility models31 cited