References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1993A long memory property of stock market returns and a new model3,257 cited
• 1996Statistics for Long-Memory Processes.2,686 cited
• 1996Fractionally integrated generalized autoregressive conditional heteroskedasticity2,290 cited
• 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
• 1986Modelling the persistence of conditional variances2,068 cited
• 1996Statistics for Long-Memory Processes.1,480 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 2003Theory and applications of long-range dependence989 cited
• 1996Modeling volatility persistence of speculative returns: A new approach818 cited
• 2004Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns784 cited
• 1998The detection and estimation of long memory in stochastic volatility618 cited
• 1993A geographical model for the daily and weekly seasonal volatility in the foreign exchange market609 cited
• 1992Stationarity of Garch processes and of some nonnegative time series