References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 2000Forecasting Economic Time Series1,768 cited
• 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
• 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
• 2007Modelling Financial Time Series1,415 cited
• 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
• 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
• 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
• 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
• 1987Modelling Financial Time Series.598 cited
• 1994Semiparametric Analysis of Long-Memory Time Series