Multiscaling and clustering of volatility

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

Robert F. Engle · Econometrica · 1982 · 20.6K citations

Computing, Economics, Econometrics +15

The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.7K citations

Engineering, Economics, Finance +11

A long memory property of stock market returns and a new model

Zhuanxin Ding, Clive W. J. Granger, Robert F. Engle · Journal of Empirical Finance · 1993 · 3.3K citations

Business, Economics, Finance +16

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

Peter K. Clark · Econometrica · 1973 · 2.8K citations · Full text

Business, Economics, Finance +17

Long memory processes and fractional integration in econometrics

Richard T. Baillie · Journal of Econometrics · 1996 · 1.9K citations

Social Sciences, Economics, Mathematics +14