Modelling Short-Term Volatility with GARCH and HARCH Models

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

ARCH modeling in finance

1992 • 4,478 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Temporal Aggregation of Garch Processes

1993 • 720 citations

A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

1993 • 637 citations

A Simple Nonparametric Test of Predictive Performance

1992 • 630 citations

From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

1997 • 545 citations

The incremental volatility information in one million foreign exchange quotations

1997 • 368 citations

Fractals and Intrinsic Time - a Challenge to Econometricians

1999 • 237 citations

Changing time scale for short-term forecasting in financial markets

1996 • 38 citations

Changing time scale for short‐term forecasting in financial markets

1996 • 9 citations