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Financial Time Series
16 references·3 citing·35 second hop
Financial Time Series (2015)Financial Time SeriesAnalysis of Financial Time Series (2010)Analysis of Financial Time Se…Microstructure Noise, Realized Variance, and Optimal Sampling (2008)Microstructure Noise, Realize…Analysis of Financial Time Series (2006)Analysis of Financial Time Se…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesGO‐GARCH: a multivariate generalized orthogonal GARCH model (2002)GO‐GARCH: a multivariate gene…Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…The Distribution of Exchange Rate Volatility (1999)The Distribution of Exchange …Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Autoregressive Conditional Du…Nonparametric Pricing of Interest Rate Derivative Securities (1995)Nonparametric Pricing of Inte…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Expected stock returns and volatility (1987)Expected stock returns and vo…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing for Serial Correlation: Generalized Andrews–Ploberger Tests (2010)Testing for Serial Correlatio…Reconfiguring supplier relationships between local and global: History matters (2009)Reconfiguring supplier relati…Strategic resonance between technological and organisational capabilities in the innovation process within firms (2004)Strategic resonance between t…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Specification Tests in Econometrics (1978)Illiquidity and stock returns: cross-section and time-series effects (2002)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Continuous Auctions and Insider Trading (1985)Forecasting Volatility in Financial Markets: A Review (2003)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Realized Variance and Market Microstructure Noise (2006)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Tails, Fears, and Risk Premia (2011)The Pricing of Options on Assets with Stochastic Volatilities (1987)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Econometric Analysis of Cross Section and Panel Data (2001)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
  • 2002Dynamic Conditional Correlation7,126 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
  • 2010Analysis of Financial Time Series1,035 cited
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  • 2008Microstructure Noise, Realized Variance, and Optimal Sampling598 cited
  • 1995Nonparametric Pricing of Interest Rate Derivative Securities546 cited
  • 2002GO‐GARCH: a multivariate generalized orthogonal GARCH model475 cited

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  • 1999The Distribution of Exchange Rate Volatility462 cited
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    • 2004Strategic resonance between technological and organisational capabilities in the innovation process within firms34 cited
    • 2009Reconfiguring supplier relationships between local and global: History matters32 cited
    • 2010Testing for Serial Correlation: Generalized Andrews–Ploberger Tests21 cited