Long-term memory and volatility clustering in high-frequency price changes

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

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Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

Natural Sciences, Economics, Mathematics +9

Long-Term Storage Capacity of Reservoirs

H. E. Hurst · Transactions of the American Society of Civil Engineers · 1951 · 6.2K citations

Engineering, Hydrology, Petroleum Engineering +15

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

Clive W. J. Granger, Roselyne Joyeux · Journal of Time Series Analysis · 1980 · 3.4K citations

Computing, Meteorology, Forecasting +12