A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation

Estimating the Dimension of a Model

1978 • 43,634 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

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

A test for independence based on the correlation dimension

1996 • 2,996 citations

Fitting autoregressive models for prediction

1969 • 2,363 citations

Fitting Autoregreesive Models for Prediction

1998 • 2,099 citations

An Empirical Investigation of Self-Attitudes

1954 • 1,626 citations

Stock Prices and Volume

1992 • 1,388 citations

Semi-Nonparametric Maximum Likelihood Estimation

1987 • 926 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Variance Function Estimation

1987 • 649 citations

NONPARAMETRIC ESTIMATORS FOR TIME SERIES

1983 • 574 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models

1991 • 339 citations

A More Portable Fortran Random Number Generator

1979 • 271 citations

User's Guide for SOL/NPSOL: A Fortran Package for Nonlinear Programming.

1983 • 267 citations

Variance Function Estimation

1987 • 189 citations

Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

1990 • 166 citations

On the asymptotic normality of Fourier flexible form estimates

1991 • 156 citations

An Elasticity can be Estimated Consistently without a Priori Knowledge of Functional Form

1983 • 147 citations

Model Selection Under Nonstationarity: Autoregressive Models and Stochastic Linear Regression Models

1989 • 106 citations

Adaptive Rules for Seminonparametric Estimators That Achieve Asymptotic Normality

1991 • 100 citations

Nonparametric evidence on asymmetry in business cycles using aggregate employment time series

1992 • 45 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics.

1993 • 26 citations

An algorithm for generating chi random variables

1987 • 18 citations

ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY

1989 • 9 citations