Economic Modelling · 2011 · 50 citations · 33 references
EconomicsFinancial EconomicsAsset PricingJump DynamicsFinancial Risk ManagementEmpirical AnalysisEngineeringRisk ManagementRisk MetricBusinessEconomic AnalysisValue-at-risk EstimationStatisticsFinanceHigh-frequency Financial EconometricsFinancial Mathematics
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Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 21.9K citations
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Dimitris N. Politis, Joseph P. Romano · Journal of the American Statistical Association · 1994 · 2.3K citations