Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland

Generalized autoregressive conditional heteroskedasticity

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

Economics, Volatility Modeling, Asset Pricing +4

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

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.5K citations

Mathematical Programming, Parameter Estimation, Engineering +16

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

Tim Bollerslev · The Review of Economics and Statistics · 1990 · 3.5K citations

Volatility Modeling, Macroeconomic Forecasting, Exchange Rate +16

Accurate Approximations for Posterior Moments and Marginal Densities

Luke Tierney, Joseph B. Kadane · Journal of the American Statistical Association · 1986 · 2K citations

Density Estimation, Engineering, Marginal Posterior Densities +12