Journal of Financial Economics · 2008 · 52 citations · 28 references
BusinessEconomicsFinanceAsset PricingFinancial EconometricsFinancial EconomicsAsset Pricing EmpiricsAsset Return ModelingBond PricingImplied VolatilityVolatility AnalysisVolatility ModelingAffine Stochastic Volatility ModelsAsset VolatilityGeneralized Autoregressive Conditional Heteroskedasticity ModelsTerm Structure EffectsTime Series Volatility ModelingTime-varying Volatility ModelsVolatility
28
Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations
Why Does Stock Market Volatility Change Over Time?
G. William Schwert · The Journal of Finance · 1989 · 3.6K citations
A YIELD‐FACTOR MODEL OF INTEREST RATES
Darrell Duffie, Rui Kan · Mathematical Finance · 1996 · 2.6K citations
The distribution of realized stock return volatility
Torben G. Andersen · Journal of Financial Economics · 2001 · 2.4K citations
The Distribution of Realized Exchange Rate Volatility
Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations