The Volatility of the Norwegian Currency Basket

Estimating the Dimension of a Model

1978 • 43,634 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*

1970 • 15,798 citations

Introduction to Statistical Time Series

1978 • 4,545 citations

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

1995 • 2,230 citations

Modelling Financial Time Series

2007 • 1,507 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement

1982 • 300 citations

The moment structure of ARCH processes

1985 • 165 citations

Stochastic Process Switching: Some Simple Solutions

1989 • 2 citations