1. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July. [Downloadable!] (restricted)
   Other versions:
   • Zhuanxin Ding & Clive W.J. Granger, 1994. "Modeling Volatility Persistence of Speculative Returns: A New Approach," University of California at San Diego, Economics Working Paper Series 94-05, Department of Economics, UC San Diego.
2. Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265. [Downloadable!] (restricted)
3. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June. [Downloadable!] (restricted)
4. Perez, Ana & Ruiz, Esther, 2001. "Finite sample properties of a QML estimator of stochastic volatility models with long memory," Economics Letters, Elsevier, vol. 70(2), pages 157-164, February. [Downloadable!] (restricted)
5. Paolo Zaffaroni & Peter M. Robinson, 1997. "Nonlinear Time Series With Long Memory: A Model for Stochastic Volatility," FMG Discussion Papers dp253, Financial Markets Group. [Downloadable!] (restricted)
6. Liudas Giraitis & Peter M Robinson & Alexander Samarov, 1997. "Rate Optimal Semiparametric Estimation of the Memory Parameter of the Gaussian Time Serieswith Long-Range Dependence - (Now published in Journal of Time Series Analysis, 18 (1997), pp.49-60.)," STICERD - Econometrics Paper Series /1997/323, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
7. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March. [Downloadable!] (restricted)
8. Cheung, Yin-Wong & Diebold, Francis X., 1994. "On maximum likelihood estimation of the differencing parameter of fractionally-integrated noise with unknown mean," Journal of Econometrics, Elsevier, vol. 62(2), pages 301-316, June. [Downloadable!] (restricted)
   Other versions:
   • Yin-Wong Cheung & Francis X. Diebold, 1993. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Working Papers 93-5, Federal Reserve Bank of Philadelphia.
   • Yin-Wong Cheung & Francis X. Diebold, 1990. "On maximum-likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean," Discussion Paper / Institute for Empirical Macroeconomics 34, Federal Reserve Bank of Minneapolis. [Downloadable!]
9. Robinson, P. M., 1991. "Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression," Journal of Econometrics, Elsevier, vol. 47(1), pages 67-84, January. [Downloadable!] (restricted)
10. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September. [Downloadable!] (restricted)
11. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June. [Downloadable!] (restricted)
    Other versions:
    • Zhuanxin Ding & Clive Granger & Robert Engle, 1992. "A Long Memory Property of Stock Market Returns and a New Model," University of California at San Diego, Economics Working Paper Series 92-21, Department of Economics, UC San Diego.
12. Ghysels, E. & Harvey, A. & Renault, E., 1995. "Stochastic Volatility," Papers 95.400, Toulouse - GREMAQ.
    Other versions:
    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    • Ghysels, E. & Harvey, A. & Renault, E., 1996. "Stochastic Volatility," Cahiers de recherche 9613, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    • Eric Ghysels & Andrew Harvey & Éric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO. [Downloadable!]
13. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July. [Downloadable!] (restricted)
14. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April. [Downloadable!] (restricted)
15. Breidt, F. Jay & Crato, Nuno & de Lima, Pedro, 1998. "The detection and estimation of long memory in stochastic volatility," Journal of Econometrics, Elsevier, vol. 83(1-2), pages 325-348. [Downloadable!] (restricted)
16. Josu Artech & Peter M Robinson, 1998. "Semiparametric Inference in Seasonal and Cyclical Long Memory Processes - (Now published in Journal of Time Series Analysis, 21 (2000), pp.1-25.)," STICERD - Econometrics Paper Series /1998/359, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
17. Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 371-89, October.
    Other versions:
    • Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002. "Bayesian Analysis of Stochastic Volatility Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 69-87, January.
18. Harvey, Andrew & Ruiz, Esther & Shephard, Neil, 1994. "Multivariate Stochastic Variance Models," Review of Economic Studies, Blackwell Publishing, vol. 61(2), pages 247-64, April. [Downloadable!] (restricted)

Cited by:
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1. Per Frederiksen & Frank S. Nielsen & Morten Ørregaard Nielsen, 2008. "Local polynomial Whittle estimation of perturbed fractional processes," CREATES Research Papers 2008-29, School of Economics and Management, University of Aarhus. [Downloadable!]
2. Per Frederiksen & Morten Ørregaard Nielsen, 2008. "Bias-reduced estimation of long memory stochastic volatility," CREATES Research Papers 2008-35, School of Economics and Management, University of Aarhus. [Downloadable!]
3. Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /2006/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   Other versions:
   • V Dalla & L Giraitis & J Hidalgo, . "Consistent estimation of the memory parameter for nonlinear time series," Discussion Papers 05/17, Department of Economics, University of York.
   • Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameterfor nonlinear time series," STICERD - Econometrics Paper Series /06/497, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
   • Violetta Dalla & Liudas Giraitis & Javier Hidalgo, 2006. "Consistent estimation of the memory parameter for nonlinear time series," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(2), pages 211-251, 03. [Downloadable!] (restricted)
4. Josu Arteche, 2005. "Semiparametric estimation in perturbed long memory series," BILTOKI 200502, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística). [Downloadable!]
   Other versions:
   • Josu Arteche, 2006. "Semiparametric estimation in perturbed long memory series," Computing in Economics and Finance 2006 22, Society for Computational Economics. [Downloadable!]
   • Arteche, J., 2006. "Semiparametric estimation in perturbed long memory series," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2118-2141, December. [Downloadable!] (restricted)
5. Frank S. Nielsen, 2008. "Local polynomial Whittle estimation covering non-stationary fractional processes," CREATES Research Papers 2008-28, School of Economics and Management, University of Aarhus. [Downloadable!]