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Uncovering long memory in high frequency UK futures
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Uncovering long memory in high frequency UK futures (2005)Uncovering long memory in high frequency …Modelling Financial Time Series (2007)Modelling Financial Time Seri…The detection and estimation of long memory in stochastic volatility (1998)The detection and estimation …Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Statistical aspects of ARCH and stochastic volatility (1996)Statistical aspects of ARCH a…Modeling volatility persistence of speculative returns: A new approach (1996)Modeling volatility persisten…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…A long memory property of stock market returns and a new model (1993)A long memory property of sto…A geographical model for the daily and weekly seasonal volatility in the foreign exchange market (1993)A geographical model for the …Stock Returns and Volatility (1990)Stock Returns and VolatilityStock Volatility and the Crash of '87 (1989)Stock Volatility and the Cras…Long memory and persistence in aggregate output (1989)Long memory and persistence i…An Econometric Analysis of Nonsynchronous Trading (1989)An Econometric Analysis of No…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The relation between implied and realized volatility (1998)Idiosyncratic Risk Matters! (2003)There is a risk-return trade-off after all (2005)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Time-changed Lévy processes and option pricing (2003)Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Long memory and regime switching (2001)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Multivariate GARCH models: a surveyThe distribution of realized stock return volatility (2001)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Econometric Analysis of Cross Section and Panel Data (2001)Multivariate Stochastic Variance Models (1994)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)ARCH modeling in finance (1992)The Cross‐Section of Volatility and Expected Returns (2006)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)
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References

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  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
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  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
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  • 1990Stock Returns and Volatility722 cited
  • 1998The detection and estimation of long memory in stochastic volatility618 cited
  • 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

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609 cited
  • 1989Long memory and persistence in aggregate output546 cited
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