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Glossary to ARCH (GARCH)

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
2002Dynamic Conditional Correlation7,126 cited
2012The Econometrics of Financial Markets5,875 cited
1995Multivariate Simultaneous Generalized ARCH4,510 cited
1992ARCH modeling in finance4,288 cited
1993Measuring and Testing the Impact of News on Volatility3,692 cited
2008Introductory Econometrics for Finance3,662 cited
1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
1989Why Does Stock Market Volatility Change Over Time?3,433 cited
1993A long memory property of stock market returns and a new model3,257 cited
1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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3,220 cited

1988A Capital Asset Pricing Model with Time-Varying Covariances3,145 cited

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