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Nonlinearity and temporal dependence
16 references·5 citing·41 second hop
Nonlinearity and temporal dependence (2009)Nonlinearity and temporal dependenceThe Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Long memory and regime switching (2001)Long memory and regime switch…Stochastic Volatility Models as Hidden Markov Models and Statistical Applications (2000)Stochastic Volatility Models …A simple nonlinear time series model with misleading linear properties (1999)A simple nonlinear time serie…Spectral methods for identifying scalar diffusions (1998)Spectral methods for identify…Short-Term Interest Rates as Subordinated Diffusions (1997)Short-Term Interest Rates as …Testing for structural change in a long-memory environment (1996)Testing for structural change…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory continuous time models (1996)Long memory continuous time m…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes (1993)Back to the Future: Generatin…A long memory property of stock market returns and a new model (1993)A long memory property of sto…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Forecasting a long memory process subject to structural breaks (2013)Forecasting a long memory pro…ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE (2012)ARCHIMEDEAN COPULAS AND TEMPO…Semi-nonparametric estimation and misspecification testing of diffusion models (2011)Semi-nonparametric estimation…NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS (2007)NONPARAMETRIC ESTIMATION OF S…Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions (2002)Efficient Estimation of Jump …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Testing Continuous-Time Models of the Spot Interest Rate (1996)Alternative models for stock price dynamics (2003)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Empirical properties of asset returns: stylized facts and statistical issues (2001)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The distribution of realized stock return volatility (2001)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)The variation of certain speculative prices (1997)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Modelling Extremal Events (1997)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)Chapter 8 Growth Econometrics (2005)Volatility Is Rough (2018)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)5 Stochastic volatility (1996)Forecasting Volatility in Financial Markets: A Review (2003)Bitcoin is not the New Gold – A comparison of volatility, correlation, and portfolio performance (2018)Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions (1998)Temporal aggregation of volatility models (2003)ANALYTICAL EVALUATION OF VOLATILITY FORECASTS* (2004)
this work references cited by second hop

References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1993A long memory property of stock market returns and a new model3,257 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996Modeling and pricing long memory in stock market volatility1,208 cited
  • 2001Long memory and regime switching1,162 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes373 cited
  • 1997Short-Term Interest Rates as Subordinated Diffusions263 cited
  • 1996Long memory continuous time models248 cited
  • 2000Stochastic Volatility Models as Hidden Markov Models and Statistical Applications230 cited
  • 1999A simple nonlinear time series model with misleading linear properties208 cited
  • 1998Spectral methods for identifying scalar diffusions109 cited

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  • 1996Testing for structural change in a long-memory environment107 cited
  • Cited by

    • 2007NONPARAMETRIC ESTIMATION OF SECOND-ORDER STOCHASTIC DIFFERENTIAL EQUATIONS34 cited
    • 2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions34 cited
    • 2013Forecasting a long memory process subject to structural breaks33 cited
    • 2012ARCHIMEDEAN COPULAS AND TEMPORAL DEPENDENCE28 cited
    • 2011Semi-nonparametric estimation and misspecification testing of diffusion models27 cited