References

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• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1997Modelling Extremal Events4,397 cited
• 1988Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test3,745 cited
• 1994Modelling of extremal events in insurance and finance3,519 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
• 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
• 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
• 2009Expected Stock Returns and Variance Risk Premia1,776 cited
• 1993Trading Volume and Serial Correlation in Stock Returns1,560 cited
• 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
• 1996Modeling and pricing long memory in stock market volatility1,208 cited