References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
• 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
• 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1981Fractional Differencing2,720 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
• 1996Long memory processes and fractional integration in econometrics1,879 cited
• 1986Generalized autoregressive conditional heteroscedasticity1,810 cited
• 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited