Volatility clustering in monthly stock returns

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

Computing, Economics, Econometrics +15

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

Business, Economics, Finance +12

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

Torben G. Andersen, Tim Bollerslev · International Economic Review · 1998 · 3.5K citations

Business, Economics, Finance +17

ARCH models as diffusion approximations

Daniel B. Nelson · Journal of Econometrics · 1990 · 964 citations

Engineering, Mathematics, Stochastic Processes +6