An analysis of factors affecting price volatility of the US oil market

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

Time Series Analysis.

Jörg Breitung, James D. Hamilton · Contemporary Sociology A Journal of Reviews · 1995 · 11.2K citations

Social Sciences, Economics, Econometrics +7

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

Engineering, Economics, Finance +11

Oil and the Macroeconomy When Prices Go Up and Down: An Extension of Hamilton's Results

Knut Anton Mork · Journal of Political Economy · 1989 · 1.6K citations

Social Sciences, Economics, Energy Economics +9