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A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
The Review of Economics and Statistics · 1987 · Vol. 69(3) · pp. 542–542
Market Dynamics and VolatilityFinancial Risk and Volatility ModelingMonetary Policy and Economic ImpactHeteroscedasticityEconomicsEconometricsSeries (stratigraphy)Financial economicsMonetary economics
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References
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 citations
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · 22,015 citations
On a measure of lack of fit in time series models
Biometrika · 1978 · 5,897 citations
EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
The Journal of Finance · 1970 · 15,646 citations
A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
Econometrica · 1973 · 2,826 citations
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