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Long Memory, Realized Volatility and Heterogeneous Autoregressive Models
16 references·3 citing·28 second hop
Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (2019)Long Memory, Realized Volatility and Hete…Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…A Simple Approximate Long-Memory Model of Realized Volatility (2008)A Simple Approximate Long-Mem…Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Roughing It Up: Including Jum…A Tale of Two Time Scales (2005)A Tale of Two Time ScalesPower and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Econometric Analysis of Reali…The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Long memory and regime switching (2001)Long memory and regime switch…Modeling and pricing long memory in stock market volatility (1996)Modeling and pricing long mem…Long memory processes and fractional integration in econometrics (1996)Long memory processes and fra…Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Fractionally integrated gener…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…Fractional Differencing (1981)Fractional DifferencingLong memory relationships and the aggregation of dynamic models (1980)Long memory relationships and…AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas (2023)The Russia–Ukraine war and en…Volatility Puzzle: Long Memory or Antipersistency (2022)Volatility Puzzle: Long Memor…Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal (2021)Realized Semi(co)variation: S…Multivariate GARCH models: a surveyAutoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The distribution of realized stock return volatility (2001)Fractional Brownian Motions, Fractional Noises and Applications (1968)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)Option pricing when underlying stock returns are discontinuous (1976)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Why Does Stock Market Volatility Change Over Time? (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Expected Stock Returns and Variance Risk Premia (2009)A long memory property of stock market returns and a new model (1993)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)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)Some properties of time series data and their use in econometric model specification (1981)
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References

  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1981Fractional Differencing2,720 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
  • 2002Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models2,224 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 1996Long memory processes and fractional integration in econometrics1,879 cited
  • 1980Long memory relationships and the aggregation of dynamic models1,448 cited
  • 2007Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility1,448 cited
  • 2005A Tale of Two Time Scales1,312 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 1996Modeling and pricing long memory in stock market volatility

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1,208 cited
  • 2001Long memory and regime switching1,162 cited
  • Cited by

    • 2023The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas78 cited
    • 2021Realized Semi(co)variation: Signs That All Volatilities are Not Created Equal33 cited
    • 2022Volatility Puzzle: Long Memory or Antipersistency28 cited