Recommended readings (Machine generated): 1.FischerBlack(1976),'StudiesofStockPriceVolatilityChanges',Proceedingsofthe1976MeetingsoftheAmericanStatisticalAssociation,BusinessandEconomicStatisticsSection,177-81 -- 2. Robert F. Engle (1982), 'Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation', Econometrica, 50 (4), July, 987-1007 -- 3. Tim Bollerslev (1986), 'Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, 31 (3), April, 307-27 -- 4. Robert F. Engle, David M. Lilien and Russell P. Robins (1987), 'Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model', Econometrica, 55 (2), March, 391-407 -- 5. Kenneth R. French, G. William Schwert and Robert F. Stambaugh (1987), 'Expected Stock Returns and Volatility', Journal of Financial Economics, 19 (1), September, 3-29 -- 6. G. William Schwert (1989), 'Why Does Stock Market Volatility Change Over Time?', Journal of Finance, XLIV (5), December, 1115-53 -- 7. Tim Bollerslev (1987), 'A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return', Review of Economics and Statistics, 69 (3), August, 542-7 -- 8. Tim Bollerslev and Jeffrey M. Wooldridge (1992), 'Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances', Econometric Reviews, 11 (2), 143-72 -- 9. Alexander J. McNeil and Rüdiger Frey (2000), 'Estimation of Tail-Related Risk Measures for Heteroscedastic Financial Time Series: An Extreme Value Approach', Journal of Empirical Finance: Special Issue on Risk Management, 7 (3-4), November, 271-300 -- 10. Lawrence R. Glosten, Ravi Jagannathan and David E. Runkle (1993), 'On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks', Journal of Finance, XLVIII (5), December, 1779-801 -- 11. Jean-Michel Zakoian (1994), 'Threshold Heteroskedastic Models', Journal of Economic Dynamics and Control, 18 (5), September, 931-55 -- 12. Daniel B. Nelson (1991), 'Conditional Heteroskedasticity in Asset Returns: A New Approach', Econometrica, 59 (2), March, 347-70 -- 13. Zhuanxin Ding, Clive W. J. Granger and Robert F. Engle (1993), 'A Long Memory Property of Stock Market Returns and a New Model', Journal of Empirical Finance, 1 (1), June, 83-106 -- 14. Richard T. Baillie, Tim Bollerslev and Hans Ole Mikkelsen (1996), 'Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity', Journal of Econometrics, 74 (1), September, 3-30 -- 15. Peter R. Hansen and Asger Lunde (2005), 'A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?', Journal of Applied Econometrics, 20 (7), December, 873-89 -- 16. Peter K. Clark (1973), 'A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices', Econometrica, 41 (1), January, 135-55 -- 17. George E. Tauchen and Mark Pitts (1983), 'The Price Variability-Volume Relationship on Speculative Markets', Econometrica, 51 (2), March, 485-505 -- 18. Torben G. Andersen (1996), 'Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility', Journal of Finance, LI (1), March, 169-204 -- 19. Stephen J. Taylor (1982), 'Financial Returns Modelled by the Product of Two Stochastic Processes - A Study of Daily Sugar Prices, 1961-79', in Oliver D. Anderson (ed.), Time Series Analysis: Theory and Practice 1: Proceedings of the International Conference Held at Valencia, Spain, June 1981, Amsterdam, the Netherlands: North-Holland Publishing Company, 203-26