Modeling and pricing long memory in stock market volatilityTim Bollerslev, Hans Ole Mikkelsen1996-07-01articleJournal of Econometrics1,208 citationsclosedNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingStochastic processes and financial applicationsComplex Systems and Time Series AnalysisAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 1,208 citations exist upstream.References1973The Pricing of Options and Corporate Liabilities1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks1968Fractional Brownian Motions, Fractional Noises and Applications1992ARCH modeling in finance1987Expected stock returns and volatilityCited by2003Forecasting Volatility in Financial Markets: A Review19965 Stochastic volatility2018Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance2001Modeling and Forecasting Realized Volatility1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns2005Separating microstructure noise from volatility2009Cross-correlations between volume change and price change1998The detection and estimation of long memory in stochastic volatility