Forecasting volatility of crude oil markets

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

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Parameter Identification, Parameter Estimation, Engineering +14

Comparing Predictive Accuracy

Francis X. Diebold, Roberto S. Mariano · Journal of Business and Economic Statistics · 1995 · 2.4K citations

Engineering, Machine Learning, Field Experiment +23

A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’

Stephen Beveridge, Charles R. Nelson · Journal of Monetary Economics · 1981 · 2.3K citations

Economics, Macroeconomics, Transitory Components +10