Price dynamics and speculative trading in Bitcoin

Generalized autoregressive conditional heteroskedasticity

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

Economics, Volatility Modeling, Asset Pricing +4

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.3K citations

Forecasting Methodology, Volatility Modeling, Engineering +17

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 16.8K citations

Empirical Finance, Volatility Modeling, Economics +13

Bitcoin: A Peer-to-Peer Electronic Cash System

Dr Craig S Wright · SSRN Electronic Journal · 2008 · 14.3K citations · Full text

Fintech, Engineering, Blockchain Protocol +7

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.5K citations

Mathematical Programming, Parameter Estimation, Engineering +16