Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Generalized autoregressive conditional heteroskedasticity

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

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Dynamic Conditional Correlation

Robert F. Engle · Journal of Business and Economic Statistics · 2002 · 6.9K citations

Econometric Model, Economics, Volatility Modeling +15

Robust principal component analysis?

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The Variation of Certain Speculative Prices

Benoît B. Mandelbrot · The Journal of Business · 1963 · 4.6K citations

Engineering, Price Behavior, Financial Mathematics +16

Multivariate Simultaneous Generalized ARCH

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Mathematical Programming, Parameter Estimation, Engineering +16