{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,25]],"date-time":"2026-03-25T14:31:10Z","timestamp":1774449070372,"version":"3.50.1"},"reference-count":79,"publisher":"Elsevier BV","issue":"1","license":[{"start":{"date-parts":[[1996,7,1]],"date-time":"1996-07-01T00:00:00Z","timestamp":836179200000},"content-version":"tdm","delay-in-days":0,"URL":"https:\/\/www.elsevier.com\/tdm\/userlicense\/1.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Journal of Econometrics"],"published-print":{"date-parts":[[1996,7]]},"DOI":"10.1016\/0304-4076(95)01736-4","type":"journal-article","created":{"date-parts":[[2003,4,7]],"date-time":"2003-04-07T17:37:48Z","timestamp":1049737068000},"page":"151-184","source":"Crossref","is-referenced-by-count":812,"title":["Modeling and pricing long memory in stock market volatility"],"prefix":"10.1016","volume":"73","author":[{"given":"Tim","family":"Bollerslev","sequence":"first","affiliation":[]},{"given":"Hans","family":"Ole Mikkelsen","sequence":"additional","affiliation":[]}],"member":"78","reference":[{"key":"10.1016\/0304-4076(95)01736-4_BIB1","series-title":"Second International symposium on information theory","article-title":"Information theory and an extension of the maximum likelihood principle","author":"Akaike","year":"1973"},{"key":"10.1016\/0304-4076(95)01736-4_BIB2","doi-asserted-by":"crossref","first-page":"881","DOI":"10.2307\/2329019","article-title":"Option valuation with systematic stochastic volatility","volume":"48","author":"Amin","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB3","doi-asserted-by":"crossref","first-page":"297","DOI":"10.2307\/1391527","article-title":"The message in daily exchange rates: A conditional variance tale","volume":"7","author":"Baillie","year":"1989","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB4","doi-asserted-by":"crossref","first-page":"91","DOI":"10.1016\/0304-4076(92)90066-Z","article-title":"Prediction in dynamic models with time-dependent conditional variances","volume":"52","author":"Baillie","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB5","doi-asserted-by":"crossref","first-page":"737","DOI":"10.2307\/2329172","article-title":"Cointegration, fractional cointegration, and exchange rate dynamics","volume":"49","author":"Baillie","year":"1994","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB6","doi-asserted-by":"crossref","first-page":"203","DOI":"10.2307\/2330824","article-title":"Stock return and volatility","volume":"25","author":"Baillie","year":"1990","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1016\/0304-4076(95)01736-4_BIB7","doi-asserted-by":"crossref","DOI":"10.1016\/S0304-4076(95)01749-6","article-title":"Fractionally integrated generalized autoregressive conditional heteroskedasticity","author":"Baillie","year":"1996","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB8","doi-asserted-by":"crossref","DOI":"10.1002\/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M","article-title":"Analyzing inflation by the fractionally integrated ARFIMA-GARCH model","author":"Baillie","year":"1996","journal-title":"Journal of Applied Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB9","doi-asserted-by":"crossref","first-page":"27","DOI":"10.2307\/2983611","article-title":"On the theoretical specification of sampling properties of autocorrelated time series","volume":"8","author":"Bartlett","year":"1946","journal-title":"Journal of the Royal Statistical Society B"},{"key":"10.1016\/0304-4076(95)01736-4_BIB10","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1016\/0304-3932(81)90040-4","article-title":"A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle","volume":"7","author":"Beveridge","year":"1981","journal-title":"Journal of Monetary Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB11","series-title":"Proceedings from the American Statistical Association, Business and Economic Statistics Section","first-page":"177","article-title":"Studies of stock price volatility changes","author":"Black","year":"1976"},{"key":"10.1016\/0304-4076(95)01736-4_BIB12","doi-asserted-by":"crossref","first-page":"637","DOI":"10.1086\/260062","article-title":"The pricing of options and corporate liabilities","volume":"81","author":"Black","year":"1973","journal-title":"Journal of Political Economy"},{"key":"10.1016\/0304-4076(95)01736-4_BIB13","doi-asserted-by":"crossref","first-page":"307","DOI":"10.1016\/0304-4076(86)90063-1","article-title":"Generalized autoregressive conditional heteroskedasticity","volume":"31","author":"Bollerslev","year":"1986","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB14","doi-asserted-by":"crossref","first-page":"121","DOI":"10.1111\/j.1467-9892.1988.tb00459.x","article-title":"On the correlation structure for the generalized autoregressive conditional heteroskedastic process","volume":"9","author":"Bollerslev","year":"1988","journal-title":"Journal of Time Series Analysis"},{"key":"10.1016\/0304-4076(95)01736-4_BIB15","doi-asserted-by":"crossref","first-page":"167","DOI":"10.2307\/2951782","article-title":"Common persistence in conditional variances","volume":"61","author":"Bollerslev","year":"1993","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB16","doi-asserted-by":"crossref","first-page":"143","DOI":"10.1080\/07474939208800229","article-title":"Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances","volume":"11","author":"Bollerslev","year":"1992","journal-title":"Econometric Reviews"},{"key":"10.1016\/0304-4076(95)01736-4_BIB17","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-4076(92)90064-X","article-title":"ARCH modeling in finance: A review of the theory and empirical evidence","volume":"52","author":"Bollerslev","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB18","article-title":"ARCH models","volume":"Vol. 4","author":"Bollerslev","year":"1994"},{"key":"10.1016\/0304-4076(95)01736-4_BIB19","doi-asserted-by":"crossref","first-page":"115","DOI":"10.1016\/0304-4076(92)90067-2","article-title":"Stationarity of GARCH processes and of some nonnegative time series","volume":"52","author":"Bougerol","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB20","doi-asserted-by":"crossref","first-page":"1509","DOI":"10.2307\/2284333","article-title":"Distribution of residual autocorrelations in autoregressive integrated moving average time series models","volume":"65","author":"Box","year":"1970","journal-title":"Journal of the American Statistical Association"},{"key":"10.1016\/0304-4076(95)01736-4_BIB21","doi-asserted-by":"crossref","first-page":"53","DOI":"10.2307\/2327143","article-title":"The pricing of contingent claims in discrete time models","volume":"34","author":"Brennan","year":"1979","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB22","doi-asserted-by":"crossref","first-page":"301","DOI":"10.1016\/0304-4076(94)90026-4","article-title":"On maximum likelihood estimation of the differencing parameter of fractionally integrated noise with unknown mean","volume":"62","author":"Cheung","year":"1994","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB23","doi-asserted-by":"crossref","first-page":"103","DOI":"10.2307\/1391310","article-title":"A fractional cointegration analysis of purchasing power parity","volume":"11","author":"Cheng","year":"1993","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB24","doi-asserted-by":"crossref","first-page":"279","DOI":"10.1002\/jae.3950030404","article-title":"Volatility persistence and stock valuations: Some empirical evidence using GARCH","volume":"3","author":"Chou","year":"1988","journal-title":"Journal of Applied Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB25","doi-asserted-by":"crossref","first-page":"185","DOI":"10.2307\/2951684","article-title":"Testing the autocorrelation structure of disturbances in ordinary least squares and instrumental variables regressions","volume":"60","author":"Cumby","year":"1992","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB26","doi-asserted-by":"crossref","first-page":"413","DOI":"10.1016\/0261-5606(93)90004-U","article-title":"A geographical model for the daily and weekly seasonal volatility in the foreign exchange market","volume":"12","author":"Dacorogna","year":"1993","journal-title":"Journal of International Money and Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB27","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/0304-4076(92)90073-Z","article-title":"Stock market volatility and the information content of stock index options","volume":"52","author":"Day","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB28","series-title":"Empirical modeling of exchange rate dynamics","author":"Diebold","year":"1988"},{"key":"10.1016\/0304-4076(95)01736-4_BIB29","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1016\/0304-3932(89)90003-2","article-title":"Long memory and persistence in aggregate output","volume":"24","author":"Diebold","year":"1989","journal-title":"Journal of Monetary Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB30","doi-asserted-by":"crossref","first-page":"155","DOI":"10.1016\/0165-1765(91)90163-F","article-title":"On the power of Dickey-Fuller tests against fractional alternatives","volume":"35","author":"Diebold","year":"1991","journal-title":"Economics Letters"},{"key":"10.1016\/0304-4076(95)01736-4_BIB31","series-title":"Simulation based inference in econometrics: Methods and applications","article-title":"Exact maximum likelihood estimation of observation driven econometric models","author":"Diebold","year":"1996"},{"key":"10.1016\/0304-4076(95)01736-4_BIB32","doi-asserted-by":"crossref","first-page":"1252","DOI":"10.1086\/261799","article-title":"Real exchange rates under the gold standard","volume":"99","author":"Diebold","year":"1991","journal-title":"Journal of Political Economy"},{"key":"10.1016\/0304-4076(95)01736-4_BIB33","doi-asserted-by":"crossref","first-page":"83","DOI":"10.1016\/0927-5398(93)90006-D","article-title":"A long memory property of stock market returns and a new model","volume":"1","author":"Ding","year":"1993","journal-title":"Journal of Empirical Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB34","doi-asserted-by":"crossref","first-page":"410","DOI":"10.2307\/1909547","article-title":"Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables","volume":"38","author":"Durbin","year":"1970","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB35","doi-asserted-by":"crossref","first-page":"987","DOI":"10.2307\/1912773","article-title":"Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation","volume":"50","author":"Engle","year":"1982","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB36","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1080\/07474938608800095","article-title":"Modeling the persistence of conditional variances","volume":"5","author":"Engle","year":"1986","journal-title":"Econometric Reviews"},{"key":"10.1016\/0304-4076(95)01736-4_BIB37","series-title":"A permanent and transitory component model of stock return volatility","author":"Engle","year":"1992"},{"key":"10.1016\/0304-4076(95)01736-4_BIB38","doi-asserted-by":"crossref","first-page":"289","DOI":"10.1016\/0304-4076(92)90074-2","article-title":"Implied ARCH models from options prices","volume":"52","author":"Engle","year":"1992","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB39","doi-asserted-by":"crossref","first-page":"1749","DOI":"10.2307\/2329066","article-title":"Measuring and testing the impact of news on volatility","volume":"48","author":"Engle","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB40","series-title":"Advances in futures and options research","article-title":"Arbitrage valuation of variance forecasts with simulated options","author":"Engle","year":"1993"},{"key":"10.1016\/0304-4076(95)01736-4_BIB41","doi-asserted-by":"crossref","first-page":"5","DOI":"10.1016\/0304-405X(86)90004-8","article-title":"Stock return variances: The arrival of information and the reaction of traders","volume":"17","author":"French","year":"1986","journal-title":"Journal of Financial Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB42","doi-asserted-by":"crossref","first-page":"3","DOI":"10.1016\/0304-405X(87)90026-2","article-title":"Expected stock returns and volatility","volume":"19","author":"French","year":"1987","journal-title":"Journal of Financial Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB43","doi-asserted-by":"crossref","first-page":"871","DOI":"10.2307\/2951766","article-title":"Nonlinear dynamic structures","volume":"61","author":"Gallant","year":"1993","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB44","doi-asserted-by":"crossref","first-page":"1779","DOI":"10.2307\/2329067","article-title":"On the relation between the expected value and the volatility of the nominal excess return on stocks","volume":"48","author":"Glosten","year":"1993","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB45","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1016\/0304-4076(80)90092-5","article-title":"Long memory relationships and the aggregation of dynamic models","volume":"14","author":"Granger","year":"1980","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB46","doi-asserted-by":"crossref","first-page":"15","DOI":"10.1111\/j.1467-9892.1980.tb00297.x","article-title":"An introduction to long memory time series models and fractional differencing","volume":"1","author":"Granger","year":"1980","journal-title":"Journal of Time Series Analysis"},{"key":"10.1016\/0304-4076(95)01736-4_BIB47","doi-asserted-by":"crossref","first-page":"705","DOI":"10.2307\/2527081","article-title":"Autoregressive conditional density estimation","volume":"35","author":"Hansen","year":"1994","journal-title":"International Economic Review"},{"key":"10.1016\/0304-4076(95)01736-4_BIB48","doi-asserted-by":"crossref","first-page":"381","DOI":"10.1016\/0022-0531(79)90043-7","article-title":"Martingales and arbitrage in multiperiod securities markets","volume":"20","author":"Harrison","year":"1979","journal-title":"Journal of Economic Theory"},{"key":"10.1016\/0304-4076(95)01736-4_BIB49","doi-asserted-by":"crossref","first-page":"165","DOI":"10.1093\/biomet\/68.1.165","article-title":"Fractional differencing","volume":"68","author":"Hosking","year":"1981","journal-title":"Biometrika"},{"key":"10.1016\/0304-4076(95)01736-4_BIB50","doi-asserted-by":"crossref","first-page":"381","DOI":"10.2307\/2328253","article-title":"The pricing of options on assets with stochastic volatilities","volume":"42","author":"Hull","year":"1987","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB51","doi-asserted-by":"crossref","first-page":"293","DOI":"10.1093\/rfs\/6.2.293","article-title":"Forecasting stock return variance: Toward an understanding of stochastic implied volatilities","volume":"6","author":"Lamoureux","year":"1993","journal-title":"Review of Financial Studies"},{"key":"10.1016\/0304-4076(95)01736-4_BIB52","doi-asserted-by":"crossref","first-page":"199","DOI":"10.1086\/296565","article-title":"Some relations between volatility and serial correlation in stock market returns","volume":"65","author":"LeBaron","year":"1992","journal-title":"Journal of Business"},{"key":"10.1016\/0304-4076(95)01736-4_BIB53","doi-asserted-by":"crossref","first-page":"29","DOI":"10.1017\/S0266466600008215","article-title":"Asymptotic theory for the GARCH(1, 1) quasi-maximum likelihood estimator","volume":"10","author":"Lee","year":"1994","journal-title":"Econometric Theory"},{"key":"10.1016\/0304-4076(95)01736-4_BIB54","series-title":"On the squared residual autocorrelations in conditional heteroskedastic time series modeling","author":"Li","year":"1993"},{"key":"10.1016\/0304-4076(95)01736-4_BIB55","series-title":"The asymptotic bias of the QMLE in the GARCH(1, 1) model","author":"Linton","year":"1994"},{"key":"10.1016\/0304-4076(95)01736-4_BIB56","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1093\/biomet\/65.2.297","article-title":"On a measure of lack of fit in time series models","volume":"65","author":"Ljung","year":"1978","journal-title":"Biometrika"},{"key":"10.1016\/0304-4076(95)01736-4_BIB57","doi-asserted-by":"crossref","first-page":"1279","DOI":"10.2307\/2938368","article-title":"Long term memory in stock market prices","volume":"59","author":"Lo","year":"1991","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB58","doi-asserted-by":"crossref","first-page":"181","DOI":"10.1016\/0304-4076(90)90098-E","article-title":"An econometric analysis of nonsynchronous trading","volume":"45","author":"Lo","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB59","doi-asserted-by":"crossref","first-page":"87","DOI":"10.2307\/2329240","article-title":"Implementing option pricing models when asset returns are predictable","volume":"50","author":"Lo","year":"1995","journal-title":"Journal of Finance"},{"key":"10.1016\/0304-4076(95)01736-4_BIB60","doi-asserted-by":"crossref","DOI":"10.2307\/2171862","article-title":"Consistency and asymptotic normality of the quasi-maximum likelihood estimator in IGARCH (1, 1) and covariance stationary GARCH (1, 1) models","author":"Lumsdaine","year":"1996","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB61","doi-asserted-by":"crossref","first-page":"422","DOI":"10.1137\/1010093","article-title":"Fractional Brownian motions, fractional noises and applications","volume":"10","author":"Mandelbrot","year":"1968","journal-title":"SIAM Review"},{"key":"10.1016\/0304-4076(95)01736-4_BIB62","doi-asserted-by":"crossref","first-page":"269","DOI":"10.1111\/j.1467-9892.1983.tb00373.x","article-title":"Diagnostic checking ARMA time series models using squared-residual autocorrelations","volume":"4","author":"McLeod","year":"1983","journal-title":"Journal of Time Series Analysis"},{"key":"10.1016\/0304-4076(95)01736-4_BIB63","doi-asserted-by":"crossref","first-page":"239","DOI":"10.1016\/0304-4076(90)90100-8","article-title":"Pricing foreign currency options with stochastic volatility","volume":"45","author":"Melino","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB64","first-page":"281","article-title":"The moment structure of ARCH processes","volume":"12","author":"Milh\u00f8j","year":"1985","journal-title":"Scandinavian Journal of Statistics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB65","series-title":"Proceedings of the American Statistical Association, Business and Economic Statistics Section","first-page":"93","article-title":"Modeling stock market volatility changes","author":"Nelson","year":"1989"},{"key":"10.1016\/0304-4076(95)01736-4_BIB66","doi-asserted-by":"crossref","first-page":"318","DOI":"10.1017\/S0266466600005296","article-title":"Stationarity and persistence in the GARCH(1, 1) model","volume":"6","author":"Nelson","year":"1990","journal-title":"Econometric Theory"},{"key":"10.1016\/0304-4076(95)01736-4_BIB67","doi-asserted-by":"crossref","first-page":"347","DOI":"10.2307\/2938260","article-title":"Conditional heteroskedasticity in asset returns: A new approach","volume":"59","author":"Nelson","year":"1991","journal-title":"Econometrica"},{"key":"10.1016\/0304-4076(95)01736-4_BIB68","doi-asserted-by":"crossref","first-page":"229","DOI":"10.2307\/1391681","article-title":"Inequality constraints in the univariate GARCH model","volume":"10","author":"Nelson","year":"1992","journal-title":"Journal of Business and Economic Statistics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB69","doi-asserted-by":"crossref","first-page":"267","DOI":"10.1016\/0304-4076(90)90101-X","article-title":"Alternative models for conditional stock volatility","volume":"45","author":"Pagan","year":"1990","journal-title":"Journal of Econometrics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB70","doi-asserted-by":"crossref","first-page":"407","DOI":"10.2307\/3003264","article-title":"The valuation of uncertain income streams and the pricing of options","volume":"2","author":"Rubinstein","year":"1976","journal-title":"Bell Journal of Economics and Management Science"},{"key":"10.1016\/0304-4076(95)01736-4_BIB71","doi-asserted-by":"crossref","first-page":"309","DOI":"10.1016\/0304-405X(77)90041-1","article-title":"Estimating betas from non-synchronous data","volume":"5","author":"Scholes","year":"1977","journal-title":"Journal of Financial Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB72","doi-asserted-by":"crossref","first-page":"461","DOI":"10.1214\/aos\/1176344136","article-title":"Estimating the dimension of a model","volume":"6","author":"Schwarz","year":"1978","journal-title":"Annals of Statistics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB73","doi-asserted-by":"crossref","first-page":"399","DOI":"10.1086\/296513","article-title":"Indexes of U.S. stock prices from 1802 to 1987","volume":"63","author":"Schwert","year":"1990","journal-title":"Journal of Business"},{"key":"10.1016\/0304-4076(95)01736-4_BIB74","doi-asserted-by":"crossref","first-page":"419","DOI":"10.2307\/2330793","article-title":"Option pricing when the variance changes randomly: Theory, estimation, and an application","volume":"22","author":"Scott","year":"1987","journal-title":"Journal of Financial and Quantitative Analysis"},{"key":"10.1016\/0304-4076(95)01736-4_BIB75","series-title":"Density estimation for statistics and data analysis","author":"Silverman","year":"1986"},{"key":"10.1016\/0304-4076(95)01736-4_BIB76","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1016\/0304-3932(92)90016-U","article-title":"Modeling long-run behavior with the fractional ARIMA model","volume":"29","author":"Sowell","year":"1992","journal-title":"Journal of Monetary Economics"},{"key":"10.1016\/0304-4076(95)01736-4_BIB77","series-title":"Estimating conditional expectations when volatility fluctuates","author":"Stambaugh","year":"1993"},{"key":"10.1016\/0304-4076(95)01736-4_BIB78","doi-asserted-by":"crossref","first-page":"107","DOI":"10.1017\/S0266466600011397","article-title":"Asymptotic theory for ARCH models: Estimation and testing","volume":"2","author":"Weiss","year":"1986","journal-title":"Econometric Theory"},{"key":"10.1016\/0304-4076(95)01736-4_BIB79","doi-asserted-by":"crossref","first-page":"351","DOI":"10.1016\/0304-405X(87)90009-2","article-title":"Option values under stochastic volatility: Theory and empirical estimates","volume":"19","author":"Wiggins","year":"1987","journal-title":"Journal of Financial Economics"}],"container-title":["Journal of Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:0304407695017364?httpAccept=text\/xml","content-type":"text\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/api.elsevier.com\/content\/article\/PII:0304407695017364?httpAccept=text\/plain","content-type":"text\/plain","content-version":"vor","intended-application":"text-mining"}],"deposited":{"date-parts":[[2024,12,4]],"date-time":"2024-12-04T23:44:40Z","timestamp":1733355880000},"score":1,"resource":{"primary":{"URL":"https:\/\/linkinghub.elsevier.com\/retrieve\/pii\/0304407695017364"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1996,7]]},"references-count":79,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1996,7]]}},"alternative-id":["0304407695017364"],"URL":"https:\/\/doi.org\/10.1016\/0304-4076(95)01736-4","relation":{},"ISSN":["0304-4076"],"issn-type":[{"value":"0304-4076","type":"print"}],"subject":[],"published":{"date-parts":[[1996,7]]}}}