References

• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1976Option pricing when underlying stock returns are discontinuous5,965 cited
• 1994Comparing Predictive Accuracy5,495 cited
• 1987Expected stock returns and volatility4,147 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 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
• 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
• 1980On estimating the expected return on the market2,818 cited
• 1981Fractional Differencing2,720 cited
• 2002Macroeconomic Forecasting Using Diffusion Indexes