Temporal Aggregation of Univariate and Multivariate Time Series Models: A Survey

Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Clive W. J. Granger · Econometrica · 1969 · 22.9K citations

Social Sciences, Economics, Causal Inference +8

Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

Business, Finance, Econometrics +11

Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 7.1K citations

Business, Finance, Econometrics +16

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.6K citations

Social Sciences, Economics, Econometrics +15