Pacific-Basin Finance Journal · 2013 · 26 citations · 51 references
Social SciencesEconomicsFinanceCommodity MarketsFinancial EconomicsTime Series AnalysisAsymmetric InformationCommodity Price ForecastingFutures MarketsInformation AsymmetryInformation Asymmetry In MarketsVolatility ModelingCommodity Market VolatilityCommodity Price Volatility ForecastingFutures Market VolatilityFutures Price ForecastingFutures Price VolatilityImplied Volatility ForecastingVolatility Forecasting
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Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
David A. Dickey, Wayne A. Fuller · Econometrica · 1981 · 14.6K citations
Business, Economics, Econometrics +15
Conditional Heteroskedasticity in Asset Returns: A New Approach
Daniel B. Nelson · Econometrica · 1991 · 10.4K citations
Measuring and Testing the Impact of News on Volatility
Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations