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Realized Stock Volatility

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References

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1996

Modeling and pricing long memory in stock market volatility

1,208 cited

Cited by

2015Modeling long memory volatility using realized measures of volatility: A realized HAR GARCH model54 cited
2004Autoregressive Conditional Heteroscedasticity (ARCH) Models: A Review52 cited
2008ARFIMAX and ARFIMAX-TARCH realized volatility modeling45 cited
2019Sovereign bond return prediction with realized higher moments41 cited
2009Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks37 cited
2011Predictive Inference for Integrated Volatility29 cited
2001Consequences for Option Pricing of a Long Memory in Volatility29 cited
2008A Discrete-Time Model for Daily S&P500 Returns and Realized Variations: Jumps and Leverage Effects28 cited
2009Predictive density estimators for daily volatility based on the use of realized measures27 cited