Reference health
Volatility Puzzle
47/47 checkable references clean · checked 2026-08-27
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
25 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.
The 47 checked references that resolve
resolves10.1111/j.1540-6261.1997.tb02722.x
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns
resolves10.1257/000282805774669574
A Framework for Exploring the Macroeconomic Determinants of Systematic Risk
resolves10.1016/j.csda.2006.09.030
Financial econometric analysis at ultra-high frequency: Data handling concerns
resolves10.1017/S0022109014000428
The Economic Value of Realized Volatility: Using High-Frequency Returns for Option Valuation
resolves10.1162/003465300558597
How Relevant is Volatility Forecasting for Financial Risk Management?
resolves10.1016/0165-1765(94)90026-4
A note on calculating the autocovariances of the fractionally integrated ARMA models
resolves10.1137/1127016
Remarks on the Approximation of the Likelihood Function of a Stationary Gaussian Process
resolves10.1111/j.2517-6161.1987.tb01422.x
Parameter Orthogonality and Approximate Conditional Inference
resolves10.1016/S0304-405X(02)00259-3
The economic value of volatility timing using “realized” volatility
resolves10.1111/j.1467-9892.1983.tb00371.x
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
resolves10.1111/j.1467-9892.1980.tb00297.x
AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
resolves10.1016/S0378-3758(98)00252-3
Maximum likelihood estimators for ARMA and ARFIMA models: a Monte Carlo study
resolves10.1093/rfs/6.2.327
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
resolves10.1111/j.1540-6261.1987.tb02568.x
The Pricing of Options on Assets with Stochastic Volatilities
resolves10.1111/1467-9892.00179
An Efficient Taper for Potentially Overdifferenced Long‐memory Time Series
resolves10.1111/j.1467-9892.1995.tb00221.x
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
resolves10.1016/j.jspi.2020.04.010
Optimal bias correction of the log-periodogram estimator of the fractional parameter: A jackknife approach
resolves10.1080/07474930500405790
Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
resolves10.1016/j.jeconom.2008.12.006
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
resolves10.1017/S0266466609100075
EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
resolves10.1016/j.jeconom.2004.09.014
Local Whittle estimation of fractional integration and some of its variants
resolves10.1016/0304-4076(92)90084-5
Maximum likelihood estimation of stationary univariate fractionally integrated time series models
resolves10.1016/j.jeconom.2019.01.002
Random coefficient continuous systems: Testing for extreme sample path behavior
resolves10.1017/S0266466616000475
ESTIMATING THE QUADRATIC VARIATION SPECTRUM OF NOISY ASSET PRICES USING GENERALIZED FLAT-TOP REALIZED KERNELS
resolves10.1080/01621459.2000.10474323
Whittle Pseudo-Maximum Likelihood Estimation for Nonstationary Time Series
The 25 references without a DOI — listed, not checked
no DOI — not checkedCox and reid's modification in regression models with correlated errors
no DOI — not checkedref8
no DOI — not checkedref10
no DOI — not checkedref12
no DOI — not checkedref13
no DOI — not checkedref14
no DOI — not checkedref15
no DOI — not checkedWhen moving-average models meet high-frequency data: Uniform inference on volatility
no DOI — not checkedSmall sample effects in time series analysis: a new asymptotic theory and a new estimate
no DOI — not checkedref24
no DOI — not checkedThe ET interview: Professor robert f. engle
no DOI — not checkedLarge-sample properties of parameter estimates for strongly dependent stationary gaussian time series
no DOI — not checkedConsistent estimation for fractional stochastic volatility model under high-frequency asymptotics
no DOI — not checkedref33
no DOI — not checkedref43
no DOI — not checkedStatistical aspects of self-similar processes
no DOI — not checkedOn plug-in estimation of long memory models
no DOI — not checkedMildly explosive autoregression under weak and strong dependence
no DOI — not checkedLocal Whittle estimation in nonstationary and unit root cases
no DOI — not checkedLog-periodogram regression of time series with long range dependence
no DOI — not checkedref61
no DOI — not checkedref63
no DOI — not checkedModeling and forecasting realized volatility with the fractional ornstein-uhlenbeck process
no DOI — not checkedLatent local-to-unity models
no DOI — not checkedOn the efficiency of estimates of a spectral density
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