Prediction of daily peak electricity demand in South Africa using volatility forecasting models

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

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

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

Multivariate Adaptive Regression Splines

Jerome H. Friedman · The Annals of Statistics · 1991 · 8K citations · Full text

Engineering, Multivariate Analysis, Data Science +15

Estimation and Inference in Nonlinear Structural Models

Ernst R. Berndt, Bronwyn H. Hall, Robert E. Hall et al. · RePEc: Research Papers in Economics · 1974 · 2K citations

Parameter Estimation, Nonlinear Structural Models, Statistical Inference +3