Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach

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

Fractionally integrated generalized autoregressive conditional heteroskedasticity

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

Volatility Modeling, Asset Pricing, Business +5

The Distribution of Realized Exchange Rate Volatility

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of the American Statistical Association · 2001 · 2.2K citations

Exchange Rate Volatilities, Volatility Modeling, Engineering +16

Autoregressive conditional heteroskedasticity and changes in regime

James D. Hamilton, Raúl Susmel · Journal of Econometrics · 1994 · 1.9K citations

Volatility Modeling, Economics, Business +4

Modeling and pricing long memory in stock market volatility

Tim Bollerslev, Hans Ole Mikkelsen · Journal of Econometrics · 1996 · 1.2K citations

Volatility Modeling, Financial Economics, Asset Pricing +4