The DOI matches its Crossref record; 6 of the 6 references it cites were found in a registry or an index.
5 Stochastic volatility
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Cites
Equation of State Calculations by Fast Computing Machines
Metropolis, N., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A. H., & Teller, E. (1953) · The Journal of Chemical Physics · doi:10.1063/1.1699114 · Cited by 37,192
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Forecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
Self-citationCorrelations in price changes and volatility across international stock markets
Hamao, Y., Masulis, R. W., & Ng, V. (1990) · Review of Financial Studies · doi:10.1093/rfs/3.2.281 · Cited by 1,926
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
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
Kim, S., Shepherd, N., & Chib, S. (1998) · Review of Economic Studies · doi:10.1111/1467-937x.00050 · Cited by 2,261
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
Forecasting 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
Barndorff-Nielsen, O. E., & Shephard, N. (2004) · Econometrica · doi:10.1111/j.1468-0262.2004.00515.x · Cited by 905
Metadata
- Authors
- Ghysels, E., Harvey, A. C., & Renault, E.
- Venue
- Handbook of Statistics
- Publisher
- Elsevier
- Published
- 1996
- Pages
- 119-191
- ISSN
- 0169-7161 (ISSN-L)
- OpenAlex
- W982383590
- Cited by
- 1,175
- References
- 6
- FWCI
- 108.15
- Type
- book chapter
- Language
- en
- Open access
- green
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- Ghysels, E., Harvey, A. C., & Renault, E. (1996). 5 Stochastic volatility. Handbook of Statistics. https://doi.org/10.1016/s0169-7161(96)14007-4
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.
