A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

Generalized autoregressive conditional heteroskedasticity

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

Business, Finance, Econometrics +11

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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<i>Numerical Recipes, The Art of Scientific Computing</i>

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Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

Natural Sciences, Economics, Mathematics +9

The Relation Between Price Changes and Trading Volume: A Survey

Jonathan M. Karpoff · Journal of Financial and Quantitative Analysis · 1987 · 2.5K citations

Business, Economics, Finance +9