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ARMA representation of integrated and realized variances
16 references·13 citing·31 second hop
ARMA representation of integrated and realized variances (2003)ARMA representation of integrated and rea…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)The jump-risk premia implicit…Range‐Based Estimation of Stochastic Volatility Models (2002)Range‐Based Estimation of Sto…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Asymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyA Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option values under stochastic volatility: Theory and empirical estimates (1987)Option values under stochasti…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Volatility Puzzle: Long Memory or Antipersistency (2022)Volatility Puzzle: Long Memor…A GMM approach to estimate the roughness of stochastic volatility (2022)A GMM approach to estimate th…Combining long memory and level shifts in modelling and forecasting the volatility of asset returns (2017)Combining long memory and lev…It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model (2014)It's all about volatility of …International market links and volatility transmission (2012)International market links an…Forecasting Volatility Using High-Frequency Data (2012)Forecasting Volatility Using …Realized Laplace transforms for estimation of jump diffusive volatility models (2011)Realized Laplace transforms f…Predictive Inference for Integrated Volatility (2011)Predictive Inference for Inte…Integrated variance forecasting: Model based vs. reduced form (2011)Integrated variance forecasti…Realized GARCH: A Joint Model of Returns and Realized Measures of Volatility (2010)Realized GARCH: A Joint Model…Estimating the Persistence and the Autocorrelation Function of a Time Series that is Measured with Error (2010)Estimating the Persistence an…Predictive density estimators for daily volatility based on the use of realized measures (2009)Predictive density estimators…Monitoring disruptions in financial markets (2005)Monitoring disruptions in fin…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Is All That Talk Just Noise? 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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1994Comparing Predictive Accuracy5,495 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2001Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics1,801 cited
  • 2002The jump-risk premia implicit in options: evidence from an integrated time-series study1,657 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 2002Range‐Based Estimation of Stochastic Volatility Models1,215 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1990ARCH models as diffusion approximations

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943 cited
  • 1987Option values under stochastic volatility: Theory and empirical estimates904 cited
  • Cited by

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    • 2017Combining long memory and level shifts in modelling and forecasting the volatility of asset returns34 cited
    • 2011Integrated variance forecasting: Model based vs. reduced form30 cited
    • 2011Predictive Inference for Integrated Volatility29 cited
    • 2022Volatility Puzzle: Long Memory or Antipersistency28 cited
    • 2009Predictive density estimators for daily volatility based on the use of realized measures27 cited
    • 2014It's all about volatility of volatility: Evidence from a two-factor stochastic volatility model26 cited
    • 2011Realized Laplace transforms for estimation of jump diffusive volatility models24 cited