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Long-term equity anticipation securities and stock market volatility dynamics

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References

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1996Modeling and pricing long memory in stock market volatility1,208 cited
19965 Stochastic volatility1,189 cited
1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited

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1995THE GARCH OPTION PRICING MODEL1,131 cited

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2010Affine fractional stochastic volatility models150 cited
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1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns131 cited
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2005Volatility Forecasting118 cited
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2005Practical Volatility and Correlation Modeling for Financial Market Risk Management107 cited
2013Financial Risk Measurement for Financial Risk Management105 cited
2008Testing Models of Low-Frequency Variability101 cited