Realized volatility in the futures markets

Applied Multivariate Statistical Analysis.

Andrea Johnson, Dean W. Wichern · Biometrics · 1988 · 11.4K citations

Natural Sciences, Biostatistics, Statistical Computing +16

Conditional Heteroskedasticity in Asset Returns: A New Approach

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

Business, Economics, Finance +17

Time Series: Theory and Methods

Eric R. Ziegel, Peter J. Brockwell, Richard A. Davis · Technometrics · 1992 · 5.1K citations

Computing, Data Science, Econometrics +16

Expected stock returns and volatility

Kenneth R. French, G. William Schwert, Robert F. Stambaugh · Journal of Financial Economics · 1987 · 4.3K citations · Full text

Business, Economics, Finance +12

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