References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
• 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
• 1987A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return2,569 cited
• 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
• 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
• 1986Modelling the persistence of conditional variances2,068 cited
• 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
• 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 cited
• 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
• 1989Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts856 cited
• 2002The Message in Daily Exchange Rates791 cited
• 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model723 cited