Application of the Beck model to stock markets: Value-at-Risk and portfolio risk assessment

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations

Economics, Volatility Modeling, Asset Pricing +4

Large Sample Properties of Generalized Method of Moments Estimators

Lars Peter Hansen · Econometrica · 1982 · 13.7K citations

Large Sample Properties, Engineering, Estimation Statistic +4

Possible generalization of Boltzmann-Gibbs statistics

Constantino Tsallis · Journal of Statistical Physics · 1988 · 9.3K citations

Engineering, Gibbs Measure, Entropy +5

ARCH modeling in finance

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

Economics, Computational Finance, Financial Economics +5

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

Econometric Model, Economics, Macroeconomics +7