The DOI matches its Crossref record; 55 of the 55 references it cites were found in a registry or an index.
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
Abstract
Torben G. Andersen, Tim Bollerslev, Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts, International Economic Review, Vol. 39, No. 4, Symposium on Forecasting and Empirical Methods in Macroeconomics and Finance (Nov., 1998), pp. 885-905
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Citations
Cites
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
The Behavior of Stock-Market Prices
Fama, E. F. (1965) · The Journal of Business · doi:10.1086/294743 · Cited by 8,664
Brownian Motion and Stochastic Calculus
(2007) · Springer Finance · doi:10.1007/978-1-84628-696-4_13 · Cited by 7,422
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
Diebold, F., & Mariano, R. (1994) · National Bureau of Economic Research · doi:10.3386/t0169 · Cited by 5,185
The variation of certain speculative prices
Mandelbrot, B. B. (1997) · Fractals and Scaling in Finance · doi:10.1007/978-1-4757-2763-0_14 · Cited by 4,468
Bollerslev, T., Chou, R. Y., & Kroner, K. F. (1992) · Journal of Econometrics · doi:10.1016/0304-4076(92)90064-x · Cited by 4,270
Self-citationThe Pricing of Options on Assets with Stochastic Volatilities
HULL, J., & WHITE, A. (1987) · The Journal of Finance · doi:10.1111/j.1540-6261.1987.tb02568.x · Cited by 3,807
Why Does Stock Market Volatility Change Over Time?
SCHWERT, G. W. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb02647.x · Cited by 3,427
Cited by
MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE*
Patton, A. J. (2006) · International Economic Review · doi:10.1111/j.1468-2354.2006.00387.x · Cited by 2,112
The Distribution of Realized Exchange Rate Volatility
Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001) · Journal of the American Statistical Association · doi:10.1198/016214501750332965 · Cited by 2,104
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
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
BOLLERSLEV, T., & TODOROV, V. (2011) · The Journal of Finance · doi:10.1111/j.1540-6261.2011.01695.x · Cited by 804
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Metadata
- Authors
- Andersen, T. G., & Bollerslev, T.
- Venue
- International Economic Review
- Publisher
- JSTOR
- Published
- 1998-11
- Volume
- 39
- Issue
- 4
- Pages
- 885
- ISSN
- 0020-6598 (ISSN-L)
- OpenAlex
- W2068138154
- Cited by
- 3,375
- References
- 55
- FWCI
- 52.47
- Type
- journal article
- Language
- en
- Open access
- closed
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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.
