Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Continuous Auctions and Insider Trading

1985 • 9,651 citations

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

1985 • 6,148 citations

ARCH modeling in finance

1992 • 4,478 citations

A Theory of Intraday Patterns: Volume and Price Variability

1988 • 3,251 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Spectra of some self-exciting and mutually exciting point processes

1971 • 1,986 citations

Measuring the Information Content of Stock Trades

1991 • 1,793 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Econometric Methods for the Duration of Unemployment

1979 • 1,206 citations

Time and the Process of Security Price Adjustment

1992 • 1,163 citations

Does Unemployment Cause Future Unemployment? Definitions, Questions and Answers from a Continuous Time Model of Heterogeneity and State Dependence

1980 • 1,088 citations

Random Point Processes in Time and Space

1991 • 984 citations

An Analysis of Intraday Patterns in Bid/Ask Spreads for NYSE Stocks

1992 • 906 citations

Transactions, Volume, and Volatility

1994 • 888 citations

ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

1993 • 827 citations

Heterogeneity and State Dependence

1981 • 733 citations

The Dependence between Hourly Prices and Trading Volume

1988 • 700 citations

Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis

1990 • 499 citations

Semiparametric ARCH Models

1991 • 487 citations

Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

1996 • 486 citations

Trading Patterns and Prices in the Interbank Foreign Exchange Market

1993 • 373 citations

Doubly Stochastic Poisson Processes

1976 • 325 citations

First-order autoregressive gamma sequences and point processes

1980 • 260 citations

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

1997 • 237 citations

Some examples of statistical estimation applied to earthquake data

1982 • 140 citations

Estimating Continuous-Time Processes Subject to Time Deformation

1988 • 139 citations

Regular point processes and their detection

1972 • 131 citations

New York Stock Exchange Systems and Trading Procedures

1996 • 129 citations

A mixed autoregressive-moving average exponential sequence and point process (EARMA 1,1)

1977 • 113 citations

On Linear Intensity Models for Mixed Doubly Stochastic Poisson and Self-exciting Point Processes

1982 • 87 citations

Econometric Analysis of Discrete-Valued Irregularly-Spaced Financial Transactions Data Using a New Autoregressive Conditional Multinomial Model

1998 • 62 citations

On stationary point processes and Markov chains

1948 • 37 citations

Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects.

1994 • 30 citations

Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects

1994 • 24 citations