Concepedia
Computational Statistics & Data Analysis · 2013 · 58 citations · 32 references
Open access
Empirical FinanceFinancial EconomicsAsset PricingInternational FinanceInternational Capital MarketBusinessBond MarketMarket VolatilityFinance
32
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
Dynamic Conditional Correlation
Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations
Econometric Model, Economics, Volatility Modeling +15
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
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
Empirical Finance, Economics, Financial Economics +8