Quasi-maximum likelihood estimation of dynamic models with time varying covariances

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Linear Statistical Inference and Its Applications.

1975 • 3,726 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Proof of Theorem 2

1983 • 537 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

The econometric analysis of models with risk terms

1988 • 374 citations

Instrumental Variables Regression with Independent Observations

1982 • 339 citations

Model specification tests

1982 • 294 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Consistent maximum-likelihood estimation with dependent observations

1986 • 95 citations

Asymptotic properties of econometric estimators

1986 • 29 citations

Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics

1981 • 20 citations