Nonlinear GARCH Models for Highly Persistent Volatility

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

Lawrence R. Glosten, Ravi Jagannathan, David E. Runkle · The Journal of Finance · 1993 · 8.7K citations

Business, Economics, Finance +17

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

Sang‐Joon Kim, Siddhartha Chib · The Review of Economic Studies · 1998 · 2.3K citations · Full text

Business, Business Economics, Economics +17

Autoregressive conditional heteroskedasticity and changes in regime

James D. Hamilton, Raúl Susmel · Journal of Econometrics · 1994 · 1.9K citations

Social Sciences, Economics, Finance +12

Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Torben G. Andersen, Tim Bollerslev · The Journal of Finance · 1998 · 1.2K citations

Business, Economics, Finance +17