ARCH models as diffusion approximations

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

Conditional Heteroskedasticity in Asset Returns: A New Approach

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

Business, Economics, Finance +17

An Intertemporal Capital Asset Pricing Model

Robert C. Merton · Econometrica · 1973 · 6.8K citations

Business, Economics, Finance +17

Option pricing: A simplified approach

John C. Cox, Stephen A. Ross, Mark Rubinstein · Journal of Financial Economics · 1979 · 6.2K citations

Business, Economics, Finance +13