International Review of Financial Analysis · 2024 · 11 citations · 53 references
BusinessEconomicsFinanceFinancial EconomicsMachine LearningTime Series AnalysisCapital MarketsImplied VolatilityMarket RiskStochastic VolatilityVolatility AnalysisVolatility ModelingFinancial Market VolatilityTime Series Volatility ModelingTime-varying Volatility ModelsVolatility ForecastingVolatility Modelling
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Leo Breiman · Machine Learning · 2001 · 126.2K citations · Full text
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11