The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

1981 • 14,059 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

ARCH modeling in finance

1992 • 4,478 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Noise Trader Approach to Finance

1990 • 1,576 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Estimation and Inference in Two-Step Econometric Models

2002 • 1,315 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis

1976 • 967 citations

A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets

1990 • 818 citations

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

1990 • 811 citations

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

1989 • 778 citations

Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets

1993 • 679 citations

Asset pricing with a factor-arch covariance structure

1990 • 535 citations

Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

1991 • 500 citations

Modeling The persistence Of Conditional Variances: A Comment

1986 • 463 citations

Periodic market closure and trading volume

1992 • 455 citations

Estimation and Inference in Two-Step Econometric Models

1985 • 448 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 412 citations

Periodic Autoregressive Conditional Heteroscedasticity

1996 • 337 citations

Transaction Data Tests of the Mixture of Distributions Hypothesis

1987 • 335 citations

Empirical Modeling of Exchange Rate Dynamics

1988 • 294 citations

Volatility in the Foreign Currency Futures Market

1991 • 282 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 252 citations

The Distribution of Futures Prices: A Test of the Stable Paretian and Mixture of Normals Hypotheses

1989 • 197 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Estimating Continuous-Time Processes Subject to Time Deformation

1988 • 139 citations

Measuring Business Cycle Time

1987 • 134 citations

Where does the meteor shower come from?

1992 • 80 citations

An Equilibrium Model of Asset Trading with Sequential Information Arrival

1981 • 80 citations

Empirical modeling of exchange rate dynamics

1989 • 73 citations

Estimating Continuous-Time Processes Subject to Time Deformation: An Application to Postwar U.S. GNP

1988 • 61 citations

Some Effects of Restricting the Electronic Order Book in an Automated Trade Execution System

2018 • 9 citations