Modelling Dependence in High Dimensions with Factor Copulas

Generalized autoregressive conditional heteroskedasticity

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

Economics, Volatility Modeling, Asset Pricing +4

The Scree Test For The Number Of Factors

Raymond B. Cattell · Multivariate Behavioral Research · 1966 · 13.3K citations

Social Psychology, Behavioral Measurement, Behavioral Aspect +17

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

An Introduction to Probability Theory and its Applications.

J. F. C. Kingmán, W. Feller · Journal of the Royal Statistical Society Series A (General) · 1972 · 5K citations

Engineering, Discrete Probability, Probabilistic Analysis +4