References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 2003Modeling and Forecasting Realized Volatility3,887 cited
• 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions2,789 cited
• 1997Empirical Performance of Alternative Option Pricing Models2,708 cited
• 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
• 2003The Impact of Jumps in Volatility and Returns1,469 cited
• 2000Post-'87 crash fears in the S&P 500 futures option market1,417 cited
• 1997An Overview of Value at Risk1,320 cited
• 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
• 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
• 2011