Journal of the Japanese and International Economies · 2014 · 28 citations · 35 references
BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsFinancial MarketsAsset Return ModelingCapital MarketsStochastic VolatilityStock MarketsVolatility AnalysisVolatility ModelingFinancial Market VolatilityIntraday Return DynamicsIntraday VolatilityReturn Spillover EffectsTime Series Volatility Modeling
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
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