The Impact of the Euro on Financial Markets

Generalized autoregressive conditional heteroskedasticity

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

Economics, Volatility Modeling, Asset Pricing +4

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.3K citations

Empirical Finance, Volatility Innovations, Volatility Modeling +15

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 · 8.6K citations · Full text

Empirical Finance, Volatility Modeling, Monthly Conditional Volatility +18

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