The DOI matches its Crossref record; 74 of the 74 references it cites were found in a registry or an index.
Modeling and pricing long memory in stock market volatility
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Citations
Cites
Estimating the Dimension of a Model
Schwarz, G. (1978) · The Annals of Statistics · doi:10.1214/aos/1176344136 · Cited by 47,033
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Self-citationEngle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Information Theory and an Extension of the Maximum Likelihood Principle
Akaike, H. (1998) · Springer Series in Statistics · doi:10.1007/978-1-4612-1694-0_15 · Cited by 17,781
Density Estimation for Statistics and Data Analysis
Silverman, B. W. (2018) · Routledge eBooks · doi:10.1201/9781315140919 · Cited by 15,796
Conditional Heteroskedasticity in Asset Returns: A New Approach
Nelson, D. B. (1991) · Econometrica · doi:10.2307/2938260 · Cited by 10,236
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
GLOSTEN, L. R., JAGANNATHAN, R., & RUNKLE, D. E. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05128.x · Cited by 9,008
Fractional Brownian Motions, Fractional Noises and Applications
Mandelbrot, B. B., & Van Ness, J. W. (1968) · SIAM Review · doi:10.1137/1010093 · Cited by 7,645
On a measure of lack of fit in time series models
LJUNG, G. M., & BOX, G. E. P. (1978) · Biometrika · doi:10.1093/biomet/65.2.297 · Cited by 6,668
Cited by
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Andersen, T. G., & Bollerslev, T. (1998) · International Economic Review · doi:10.2307/2527343 · Cited by 3,375
Self-citationForecasting Volatility in Financial Markets: A Review
Poon, S., & Granger, C. W. J. (2003) · Journal of Economic Literature · doi:10.1257/002205103765762743 · Cited by 1,315
Metadata
- Authors
- Bollerslev, T., & Ole Mikkelsen, H.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1996-07
- Volume
- 73
- Issue
- 1
- Pages
- 151-184
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2139395482
- Cited by
- 1,208
- References
- 74
- FWCI
- 27.17
- Type
- journal article
- Language
- en
- Open access
- closed
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Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.
Statistics and arithmetic are recomputed, not judged.
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- CoChat. (2026). Citation check: Modeling and pricing long memory in stock market volatility. https://app.cochat.ai/papers/10.1016/0304-4076(95)01736-4
- The paper
- Bollerslev, T., & Ole Mikkelsen, H. (1996). Modeling and pricing long memory in stock market volatility. Journal of Econometrics. https://doi.org/10.1016/0304-4076(95)01736-4
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
