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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Numerical Recipes, The Art of Scientific Computing

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Fractional Brownian Motions, Fractional Noises and Applications

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The Relation Between Price Changes and Trading Volume: A Survey

1987 • 2,469 citations

Numerical recipes: The art of scientific computing

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Modelling Financial Time Series

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

1990 • 811 citations

On the Distribution of Stock Price Differences

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

1990 • 499 citations

Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

1972 • 251 citations

Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis

1972 • 247 citations

Every minute counts in financial markets

1991 • 202 citations

Modelling Financial Time Series.

1987 • 169 citations

Estimating Continuous-Time Processes Subject to Time Deformation

1988 • 139 citations

News from the U.S. and Japan

1987 • 111 citations

The behavior of intra-daily exchange rates

1985 • 103 citations

News and the Foreign Exchange Market

1991 • 79 citations

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

1988 • 61 citations

Flexible exchange rates

1989 • 31 citations

INTRA DAY AND INTER MARKET VOLATILITY IN FOREIGN EXCHANGE RATES

1989 • 24 citations