spb/wp46_uqo

1% Generated by scripts/build_references.py from Crossref / arXiv / OpenAlex records whose titles were verified2% against the expected fragment (run 2026-11-09; literature cutoff 2026-11-09). Manual entries carry a URL that was3% fetched on the recorded date. Do not edit by hand -- edit CANDIDATES/MANUAL in the script and re-run.45@article{hentschel1995all,6  author = {Hentschel, Ludger},7  title = {All in the family Nesting symmetric and asymmetric GARCH models},8  year = {1995},9  journal = {Journal of Financial Economics},10  volume = {39},11  number = {1},12  pages = {71--104},13  doi = {10.1016/0304-405x(94)00821-h},14  url = {https://doi.org/10.1016/0304-405x(94)00821-h}15}1617@article{duan1997augmented,18  author = {Duan, Jin-Chuan},19  title = {Augmented GARCH (p,q) process and its diffusion limit},20  year = {1997},21  journal = {Journal of Econometrics},22  volume = {79},23  number = {1},24  pages = {97--127},25  doi = {10.1016/s0304-4076(97)00009-2},26  url = {https://doi.org/10.1016/s0304-4076(97)00009-2}27}2829@article{maheu2004news,30  author = {Maheu, John M. and McCurdy, Thomas H.},31  title = {News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns},32  year = {2004},33  journal = {The Journal of Finance},34  volume = {59},35  number = {2},36  pages = {755--793},37  doi = {10.1111/j.1540-6261.2004.00648.x},38  url = {https://doi.org/10.1111/j.1540-6261.2004.00648.x}39}4041@article{bollerslev1996periodic,42  author = {Bollerslev, Tim and Ghysels, Eric},43  title = {Periodic Autoregressive Conditional Heteroscedasticity},44  year = {1996},45  journal = {Journal of Business \&amp; Economic Statistics},46  volume = {14},47  number = {2},48  pages = {139--151},49  doi = {10.1080/07350015.1996.10524640},50  url = {https://doi.org/10.1080/07350015.1996.10524640}51}5253@article{engle2012dynamic,54  author = {Engle, Robert and Kelly, Bryan},55  title = {Dynamic Equicorrelation},56  year = {2012},57  journal = {Journal of Business \&amp; Economic Statistics},58  volume = {30},59  number = {2},60  pages = {212--228},61  doi = {10.1080/07350015.2011.652048},62  url = {https://doi.org/10.1080/07350015.2011.652048}63}6465@article{engle1990asset,66  author = {Engle, Robert F. and Ng, Victor K. and Rothschild, Michael},67  title = {Asset pricing with a factor-arch covariance structure},68  year = {1990},69  journal = {Journal of Econometrics},70  volume = {45},71  number = {1-2},72  pages = {213--237},73  doi = {10.1016/0304-4076(90)90099-f},74  url = {https://doi.org/10.1016/0304-4076(90)90099-f}75}7677@article{bollerslev1988capital,78  author = {Bollerslev, Tim and Engle, Robert F. and Wooldridge, Jeffrey M.},79  title = {A Capital Asset Pricing Model with Time-Varying Covariances},80  year = {1988},81  journal = {Journal of Political Economy},82  volume = {96},83  number = {1},84  pages = {116--131},85  doi = {10.1086/261527},86  url = {https://doi.org/10.1086/261527}87}8889@article{engle1990discussion,90  author = {Engle, Robert F.},91  title = {Discussion},92  year = {1990},93  journal = {Review of Financial Studies},94  volume = {3},95  number = {1},96  pages = {103--106},97  doi = {10.1093/rfs/3.1.103},98  url = {https://doi.org/10.1093/rfs/3.1.103}99}100101@article{geweke1986comment,102  author = {Geweke, John},103  year = {1986},104  journal = {Econometric Reviews},105  volume = {5},106  number = {1},107  pages = {57--61},108  title = {Comment},109  doi = {10.1080/07474938608800097},110  url = {https://doi.org/10.1080/07474938608800097}111}112113@article{pantula1986comment,114  author = {Pantula, Sastry G.},115  title = {Comment},116  year = {1986},117  journal = {Econometric Reviews},118  volume = {5},119  number = {1},120  pages = {71--74},121  doi = {10.1080/07474938608800099},122  url = {https://doi.org/10.1080/07474938608800099}123}124125@article{rabemananjara1993threshold,126  author = {Rabemananjara, R. and Zakoian, J. 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