Generalized autoregressive conditional heteroskedasticity T Bollerslev Journal of econometrics 31 (3), 307-327, 1986 | 35853 | 1986 |
ARCH modeling in finance: A review of the theory and empirical evidence T Bollerslev, RY Chou, KF Kroner Journal of econometrics 52 (1-2), 5-59, 1992 | 7178 | 1992 |
Modelling the coherence in short-run nominal exchange rates: a multivariate generalized ARCH model T Bollerslev The review of economics and statistics, 498-505, 1990 | 5434 | 1990 |
A capital asset pricing model with time-varying covariances T Bollerslev, RF Engle, JM Wooldridge Journal of political Economy 96 (1), 116-131, 1988 | 4891 | 1988 |
Modeling and forecasting realized volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Econometrica 71 (2), 579-625, 2003 | 4797 | 2003 |
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances T Bollerslev, JM Wooldridge Econometric reviews 11 (2), 143-172, 1992 | 4599 | 1992 |
Answering the skeptics: Yes, standard volatility models do provide accurate forecasts TG Andersen, T Bollerslev International economic review, 885-905, 1998 | 4512 | 1998 |
A conditionally heteroskedastic time series model for speculative prices and rates of return T Bollerslev The review of economics and statistics, 542-547, 1987 | 4033 | 1987 |
Modelling the persistence of conditional variances RF Engle, T Bollerslev Econometric reviews 5 (1), 1-50, 1986 | 3697 | 1986 |
ARCH models T Bollerslev, RF Engle, DB Nelson Handbook of econometrics 4, 2959-3038, 1994 | 3461* | 1994 |
Fractionally integrated generalized autoregressive conditional heteroskedasticity RT Baillie, T Bollerslev, HO Mikkelsen Journal of econometrics 74 (1), 3-30, 1996 | 3378 | 1996 |
The distribution of realized stock return volatility TG Andersen, T Bollerslev, FX Diebold, H Ebens Journal of financial economics 61 (1), 43-76, 2001 | 3233 | 2001 |
The distribution of realized exchange rate volatility TG Andersen, T Bollerslev, FX Diebold, P Labys Journal of the American statistical association 96 (453), 42-55, 2001 | 3150 | 2001 |
Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility TG Andersen, T Bollerslev, FX Diebold The review of economics and statistics 89 (4), 701-720, 2007 | 2129 | 2007 |
Expected stock returns and variance risk premia T Bollerslev, G Tauchen, H Zhou The Review of Financial Studies 22 (11), 4463-4492, 2009 | 1895 | 2009 |
Micro effects of macro announcements: Real-time price discovery in foreign exchange TG Andersen, T Bollerslev, FX Diebold, C Vega American Economic Review 93 (1), 2003 | 1794 | 2003 |
Intraday periodicity and volatility persistence in financial markets TG Andersen, T Bollerslev Journal of empirical finance 4 (2-3), 115-158, 1997 | 1781 | 1997 |
Modeling and pricing long memory in stock market volatility T Bollerslev, HO Mikkelsen Journal of econometrics 73 (1), 151-184, 1996 | 1752 | 1996 |
Deutsche mark–dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies TG Andersen, T Bollerslev the Journal of Finance 53 (1), 219-265, 1998 | 1676 | 1998 |
The message in daily exchange rates: a conditional-variance tale RT Baillie, T Bollerslev Journal of Business & Economic Statistics 20 (1), 60-68, 2002 | 1478 | 2002 |