References

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• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1989Why Does Stock Market Volatility Change Over Time?3,433 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 1980On estimating the expected return on the market2,818 cited
• 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
• 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
• 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 2005There is a risk-return trade-off after all1,019 cited
• 2007MIDAS Regressions: Further Results and New Directions1,003 cited
• 2003Alternative models for stock price dynamics893 cited
• 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes878 cited
• 1996Modeling volatility persistence of speculative returns: A new approach818 cited
• 2005Predicting volatility: getting the most out of return data sampled at different frequencies