Adaptive Estimation in ARCH Models

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Mathematical Methods of Statistics.

1947 • 5,846 citations

The variation of certain speculative prices

1997 • 4,766 citations

ARCH modeling in finance

1992 • 4,478 citations

The Variation of Certain Speculative Prices

1963 • 4,461 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Stationarity and Persistence in the GARCH(1,1) Model

1990 • 1,139 citations

Optimal Inference in Cointegrated Systems

1991 • 1,139 citations

On Bandwidth Variation in Kernel Estimates-A Square Root Law

1982 • 609 citations

Stationarity of Garch processes and of some nonnegative time series

1992 • 588 citations

On Adaptive Estimation

1982 • 564 citations

Asymptotic Theory of Nonlinear Least Squares Estimation

1981 • 540 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Semiparametric ARCH Models

1991 • 487 citations

Estimates of the Variance of U. S. Inflation Based upon the ARCH Model

1983 • 474 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

On Adaptive Estimation in Stationary ARMA Processes

1987 • 292 citations

Contiguity of Probability Measures

1972 • 267 citations

On the Assumptions Used to Prove Asymptotic Normality of Maximum Likelihood Estimates

1970 • 264 citations

Local asymptotic minimax and admissibility in estimation

1972 • 260 citations

Asymptotically Most Powerful Rank-Order Tests

1962 • 221 citations

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

1988 • 168 citations

The moment structure of ARCH processes

1985 • 165 citations

A Decomposition for the Likelihood Ratio Statistic and the Bartlett Correction--A Bayesian Argument

1990 • 148 citations

LOCAL ASYMPTOTIC MINIMAX AND ADMISSIBILITY IN ESTIMATION

1972 • 139 citations

Commet

1986 • 131 citations

The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

1985 • 106 citations

Achieving Information Bounds in Non and Semiparametric Models

1990 • 94 citations

Monte Carlo Evidence on Adaptive Maximum Likelihood Estimation of a Regression

1987 • 80 citations

On estimation and adaptive estimation for locally asymptotically normal families

1982 • 62 citations

ON ADAPTIVE ESTIMATION IN AUTOREGRESSIVE MODELS WHEN THERE ARE NUISANCE FUNCTIONS

1987 • 52 citations

Asymptotic distribution of the log-likelihood function for stochastic processes

1979 • 36 citations

Adaptive estimation in time series regression models

1992 • 29 citations

Martingale limit theory

1975 • 12 citations

Cramér-type conditions and quadratic mean differentiability

1977 • 4 citations

Deleted Work

1955 • 0 citations