The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Parametric and Nonparametric Volatility Measurement
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Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Cited by
On the network topology of variance decompositions: Measuring the connectedness of financial firms
Diebold, F. X., & Yılmaz, K. (2014) · Journal of Econometrics · doi:10.1016/j.jeconom.2014.04.012 · Cited by 4,642
Self-citationA forecast comparison of volatility models: does anything beat a GARCH(1,1)?
Hansen, P. R., & Lunde, A. (2005) · Journal of Applied Econometrics · doi:10.1002/jae.800 · Cited by 1,773
Realized Variance and Market Microstructure Noise
Hansen, P. R., & Lunde, A. (2006) · Journal of Business & Economic Statistics · doi:10.1198/073500106000000071 · Cited by 1,160
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, F., Pirino, D., & Renò, R. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.07.008 · Cited by 561
Measuring and Modeling Variation in the Risk-Return Trade-off
Lettau, M., & Ludvigson, S. C. (2010) · Handbook of Financial Econometrics: Tools and Techniques · doi:10.1016/b978-0-444-50897-3.50014-6 · Cited by 409
Metadata
- Authors
- Andersen, T. G., Bollerslev, T., & Diebold, F. X.
- Venue
- Handbook of Financial Econometrics: Tools and Techniques
- Publisher
- Elsevier
- Published
- 2010
- Pages
- 67-137
- OpenAlex
- W2109596131
- Cited by
- 492
- References
- 2
- FWCI
- 100.22
- Type
- book chapter
- Language
- en
- Open access
- green
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- Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2010). Parametric and Nonparametric Volatility Measurement. Handbook of Financial Econometrics: Tools and Techniques. https://doi.org/10.1016/b978-0-444-50897-3.50005-5
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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.
