Global Finance Journal · 1999 · 61 citations · 28 references
BusinessEconomicsFinanceFinancial EconomicsFinancial MarketsStochastic ProcessesEquity MarketsEquity RiskFinancial RiskStochastic VolatilityVolatility AnalysisVolatility ModelingFinancial Market VolatilityTime Series Volatility ModelingTime-varying Volatility DynamicsTime-varying Volatility ModelsVolatility Modelling
28
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Statistical analysis of cointegration vectors
Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations
Business, Economics, Econometrics +13