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The role of high-frequency data in volatility forecasting: evidence from the China stock market
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The role of high-frequency data in volatility forecasting: evidence from the China stock market (2021)The role of high-frequency data in volati…Volatility forecast comparison using imperfect volatility proxies (2010)Volatility forecast compariso…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 ScalesModeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Market Efficiency, Long-Term Returns, and Behavioral Finance (1997)Market Efficiency, Long-Term …Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Modelling the persistence of conditional variances (1986)Modelling the persistence of …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Fractional Differencing (1981)Fractional DifferencingAN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)AN INTRODUCTION TO LONG‐MEMOR…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Comparing Predictive Accuracy (1994)Comparing Predictive Accuracy (1995)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Fractional Brownian Motions, Fractional Noises and Applications (1968)Some properties of time series data and their use in econometric model specification (1981)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)The Behavior of Stock-Market Prices (1965)Introductory Econometrics for Finance (2008)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)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Econometric Analysis of Cross Section and Panel Data (2001)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing when underlying stock returns are discontinuous (1976)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Long memory processes and fractional integration in econometrics (1996)
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References

  • 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
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1980AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING3,376 cited
  • 1981Fractional Differencing2,720 cited
  • 2008A Simple Approximate Long-Memory Model of Realized Volatility2,526 cited
  • 1997Testing the equality of prediction mean squared errors2,103 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 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
  • 2010Volatility forecast comparison using imperfect volatility proxies

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1,281 cited
  • 1997Market Efficiency, Long-Term Returns, and Behavioral Finance1,278 cited
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