this work references cited by second hopReferences
- 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
- 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
- 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
- 1992ARCH modeling in finance4,288 cited
- 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
- 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
- 1981Fractional Differencing2,720 cited
- 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
- 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
- 1986Modelling the persistence of conditional variances2,068 cited
- 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
- 1996Modeling and pricing long memory in stock market volatility1,208 cited
- 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
- 1996Modeling volatility persistence of speculative returns: A new approach818 cited
- n.d.The econometrics of ultra-high frequency data /
Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work