Volatility Persistence and Apparent Scaling Laws in Finance

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1986 • 21,376 citations

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

1982 • 19,770 citations

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1997 • 4,766 citations

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1993 • 3,227 citations

A test for independence based on the correlation dimension

1996 • 2,996 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

The Extreme Value Method for Estimating the Variance of the Rate of Return

1980 • 1,853 citations

Scaling behaviour in the dynamics of an economic index

1995 • 1,740 citations

Modelling Financial Time Series

2007 • 1,507 citations

On the Estimation of Security Price Volatilities from Historical Data

1980 • 1,466 citations

Fractals and Scaling in Finance

1997 • 1,271 citations

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1996 • 1,243 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Mandelbrot and the Stable Paretian Hypothesis

1963 • 832 citations

Time series properties of an artificial stock market

1999 • 750 citations

Temporal Aggregation of Garch Processes

1993 • 720 citations

Turbulent cascades in foreign exchange markets

1996 • 644 citations

Estimating Variance From High, Low and Closing Prices

1991 • 590 citations

Nonlinear Dynamics, Chaos and Instability Statistical Theory and Economic Evidence.

1993 • 509 citations

The Distribution of Exchange Rate Volatility

1999 • 457 citations

Stochastic Autoregressive Volatility:A Framework for Volatility Modeling

2005 • 172 citations

Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator

1997 • 158 citations

Where Can One Hope to Profitably Apply the Ideas of Chaos?

1994 • 134 citations

Chaos and nonlinear forecastability in economics and finance

1994 • 132 citations

The Distribution of Stock Returns: New Evidence Against the Stable Model

1990 • 109 citations

Scaling in currency exchange

1997 • 107 citations

Conjectured Models for Trends in Financial Prices, Tests and Forecasts

1980 • 77 citations

Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets

1992 • 35 citations

A conditionally exponential decay approach to scaling in finance

1999 • 9 citations