Modelling futures price volatility in energy markets: Is there a role for financial speculation?

Conditional Heteroskedasticity in Asset Returns: A New Approach

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

Business, Economics, Finance +17

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

Robert F. Engle, David M. Lilien, Russell P. Robins · Econometrica · 1987 · 2.5K citations

Business, Economics, Finance +17

Threshold heteroskedastic models

Jean‐Michel Zakoïan · Journal of Economic Dynamics and Control · 1994 · 2.3K citations

Essays in Positive Economics

F. H. Hahn, Milton Friedman · Econometrica · 1954 · 1.2K citations

Social Sciences, Economics, Political Science +7

Speculators, commodities and cross-market linkages

Bahattin Büyükşahin, Michel A. Robe · Journal of International Money and Finance · 2013 · 546 citations

Business, Economics, Finance +16