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Modeling and pricing long memory in stock market volatility

Journal of Econometrics · 1996 · Vol. 73(1) · pp. 151–184

Tim Bollerslev✉(University of Virginia)Hans Ole Mikkelsen(University of Southern California)

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Financial Risk and Volatility Modeling Market Dynamics and Volatility Complex Systems and Time Series AnalysisEconometricsEconomicsVolatility (finance)Stochastic volatilityAutoregressive conditional heteroskedasticityStock marketImplied volatilityCapital asset pricing modelFinancial economicsContext (archaeology)

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References

ARCH modeling in finance

Journal of Econometrics · 1992 · 4,361 citations

Expected stock returns and volatility

Journal of Financial Economics · 1987 · 4,255 citations

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Journal of Econometrics · 1996 · 2,286 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Econometrica · 1982 · 20,395 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

Econometrica · 1991 · 10,302 citations

Generalized autoregressive conditional heteroskedasticity

Journal of Econometrics · 1986 · 22,015 citations

Estimating betas from nonsynchronous data

Journal of Financial Economics · 1977 · 2,840 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

The Journal of Finance · 1993 · 8,606 citations

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