References

• 1993Common risk factors in the returns on stocks and bonds26,615 cited
• 1992The Cross-Section of Expected Stock Returns17,251 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1987Expected stock returns and volatility4,147 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
• 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
• 2001The distribution of realized stock return volatility2,264 cited
• 1985Stock Returns and the Term Structure2,260 cited
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited