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Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach

Sébastien Laurent, Christelle Lecourt, Franz C. Palm

Computational Statistics & Data Analysis · 2014 · 67 citations · 32 references

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32

Generalized autoregressive conditional heteroskedasticity

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

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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

, , +17

Modeling and Forecasting Realized Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Econometrica · 2003 · 4K citations

, , +10

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Tim Bollerslev · The Review of Economics and Statistics · 1987 · 2.6K citations

, , +14

Fractionally integrated generalized autoregressive conditional heteroskedasticity

Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 2.3K citations

, , +8