Journal of Development Economics · 2001 · 262 citations · 19 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsTime Series AnalysisCointegration AnalysisRegime-switching ModelsTemporal Dependence ModelingTime Series EconometricsVolatility AnalysisVolatility ModelingCorrelationGeneralized Autoregressive Conditional Heteroskedasticity ModelsTime Series Volatility ModelingTime-varying Volatility DynamicsTime-varying Volatility ModelsVolatilityVolatility ModellingVolatility Regimes
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On a measure of lack of fit in time series models
Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations