Heterogeneous Volatility Cascade in Financial Markets

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Volatilities of different time resolutions — Analyzing the dynamics of market components

Ulrich Müller, Michel M. Dacorogna, Rakhal D. Davé et al. · Journal of Empirical Finance · 1997 · 754 citations

Business, Economics, Finance +14

Turbulent cascades in foreign exchange markets

Shoaleh Ghashghaie, Wolfgang Breymann, Joachim Peinke et al. · Nature · 1996 · 644 citations · Full text

Business, Economics, Finance +14

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Ulrich Müller, Robert J. Nagler, Richard B. Olsen et al. · Journal of International Money and Finance · 1993 · 630 citations

Business, Economics, Financial Economics +15

The use of fundamental and technical analyses by foreign exchange dealers: Hong Kong evidence

Yu-Hon Lui, David Mole · Journal of International Money and Finance · 1998 · 348 citations

Business, Business Economics, Economics +9