The DOI matches its Crossref record; 261 of the 261 references it cites were found in a registry or an index.
Chapter 15 Volatility and Correlation Forecasting
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Citations
Cites
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
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Breitung, J., & Hamilton, J. D. (1995) · Contemporary Sociology · doi:10.2307/2076916 · Cited by 10,966
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
Heston, S. L. (1993) · Review of Financial Studies · doi:10.1093/rfs/6.2.327 · Cited by 8,762
Engle, R. (2002) · Journal of Business & Economic Statistics · doi:10.1198/073500102288618487 · Cited by 7,133
Option pricing when underlying stock returns are discontinuous
Merton, R. C. (1976) · Journal of Financial Economics · doi:10.1016/0304-405x(76)90022-2 · Cited by 5,953
Cited by
The Price of Political Uncertainty: Theory and Evidence from the Option Market
KELLY, B., PÁSTOR, Ľ., & VERONESI, P. (2016) · The Journal of Finance · doi:10.1111/jofi.12406 · Cited by 760
A review of copula models for economic time series
Patton, A. J. (2012) · Journal of Multivariate Analysis · doi:10.1016/j.jmva.2012.02.021 · Cited by 584
Evaluating Value-at-Risk Models with Desk-Level Data
Berkowitz, J., Christoffersen, P., & Pelletier, D. (2011) · Management Science · doi:10.1287/mnsc.1080.0964 · Cited by 362
Self-citationCopula–Based Models for Financial Time Series
Patton, A. J. (2009) · Handbook of Financial Time Series · doi:10.1007/978-3-540-71297-8_34 · Cited by 360
Risk Everywhere: Modeling and Managing Volatility
Bollerslev, T., Hood, B., Huss, J., & Pedersen, L. H. (2018) · The Review of Financial Studies · doi:10.1093/rfs/hhy041 · Cited by 359
Metadata
- Authors
- Andersen, T. G., Bollerslev, T., Christoffersen, P. F., & Diebold, F. X.
- Venue
- Handbook of Economic Forecasting
- Publisher
- Elsevier
- Published
- 2006
- Pages
- 777-878
- ISSN
- 1574-0706 (ISSN-L)
- OpenAlex
- W124040795
- Cited by
- 330
- References
- 261
- FWCI
- 39.80
- Type
- book chapter
- Language
- en
- Open access
- closed
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- Andersen, T. G., Bollerslev, T., Christoffersen, P. F., & Diebold, F. X. (2006). Chapter 15 Volatility and Correlation Forecasting. Handbook of Economic Forecasting. https://doi.org/10.1016/s1574-0706(05)01015-3
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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.
