The second moment and the autocovariance function of the squared errors of the GARCH model

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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Zhuanxin Ding, Clive W. J. Granger · Journal of Econometrics · 1996 · 833 citations

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Modelling financial time series

Richard T. Baillie · European Journal of Operational Research · 1987 · 282 citations

Business, Economics, Finance +12