What drives volatility persistence in the foreign exchange market?☆

Continuous Auctions and Insider Trading

Albert S. Kyle · Econometrica · 1985 · 9.8K citations

Market Microstructure, Electronic Auction, Financial Economics +6

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 3.9K citations

Forecasting Methodology, Volatility Modeling, Engineering +16

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.4K citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

John Geweke, Susan Porter‐Hudak · Journal of Time Series Analysis · 1983 · 2.9K citations

Economics, Economic Forecasting, Engineering +15

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark · Econometrica · 1973 · 2.8K citations

Volatility Modeling, Engineering, Stochastic Phenomenon +19