Is there Room for Forex Interventions under Inflation Targeting Framework? Evidence from Mexico and Turkey

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

Business, Economics, Finance +17

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?

Lucio Sarno, Mark P. Taylor · Journal of Economic Literature · 2001 · 815 citations

Social Sciences, Economics, International Economics +15