Intraday effects of macroeconomic shocks on the US Dollar–Euro exchange rates

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Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

Business, Economics, Finance +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

Social Sciences, Economics, Econometrics +16

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Van Cuong Dang · 1987 · 2K citations

Natural Sciences, Biostatistics, Time Series Analysis +7

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

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Social Sciences, Economics, Finance +16