Journal of Economics and Business · 2002 · 54 citations · 27 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsTime Series AnalysisCapital MarketsStochastic VolatilityTime Series ClusteringTime Series ForecastingVolatility AnalysisVolatility ModelingGeneralized Autoregressive Conditional Heteroskedasticity ModelsIntraday Return DynamicsIntraday VolatilityTime Series Volatility ModelingTime-varying Volatility DynamicsVolatility DecompositionVolatility Modelling
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991 · 10.4K citations
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