References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 1994Automatic Lag Selection in Covariance Matrix Estimation3,242 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
• 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 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
• 2005A forecast comparison of volatility models: does anything beat a GARCH(1,1)?1,783 cited
• 2000Asymmetric Volatility and Risk in Equity Markets1,471 cited
• 2010Volatility forecast comparison using imperfect volatility proxies1,281 cited