On long memory effects in the volatility measure of Cryptocurrencies

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

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

Business, Economics, Finance +17

A Simple Approximate Long-Memory Model of Realized Volatility

Fulvio Corsi · Journal of Financial Econometrics · 2008 · 2.5K citations

Business, Economics, Finance +17

Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

Business, Economics, Finance +16

Range‐Based Estimation of Stochastic Volatility Models

Sassan Alizadeh, Michael W. Brandt, Francis X. Diebold · The Journal of Finance · 2002 · 1.2K citations · Full text

Business, Economics, Finance +17

Forecasting daily variability of the S&P 100 stock index using historical, realised and implied volatility measurements

Siem Jan Koopman, Borus Jungbacker, Eugenie M. J. H. Hol · Journal of Empirical Finance · 2005 · 554 citations

Business, Finance, Financial Management +17