Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing

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

1982 • 19,770 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

1990 • 3,552 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Symmetric Multivariate and Related Distributions.

1991 • 1,704 citations

A Long Memory Property of Stock Market Returns and a New Model

2010 • 707 citations

Maximum Likelihood Specification Testing and Conditional Moment Tests

1985 • 538 citations

Diagnostic testing and evaluation of maximum likelihood models

1985 • 385 citations

Hadamard products and multivariate statistical analysis

1973 • 320 citations

Time series analysis of speculative returns

1994 • 71 citations