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Risk and return: Long-run relations, fractional cointegration, and return predictability

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References

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1987Expected stock returns and volatility4,147 cited
2003Modeling and Forecasting Realized Volatility3,887 cited
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1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1999Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series2,829 cited
1980On estimating the expected return on the market2,818 cited
1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
1987Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model2,469 cited
1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 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 Volatility

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2,108 cited

1992No news is good news1,929 cited

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