Multivariate Simultaneous Generalized ARCH

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

ARCH modeling in finance

1992 • 4,478 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Nobel Lecture: Inflation and Unemployment

1977 • 1,776 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

1993 • 1,339 citations

Exogeneity

1983 • 1,271 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator

1994 • 656 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model

1993 • 226 citations

Combining competing forecasts of inflation using a bivariate arch model

1984 • 172 citations

Tests of international CAPM with time‐varying covariances

1989 • 156 citations

Mathematics for Econometrics

2013 • 136 citations

Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

1990 • 123 citations

Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity

1988 • 117 citations

Optimal dynamic hedging portfolios and the currency composition of external debt

1991 • 71 citations

Mathematics for Econometrics

1984 • 69 citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

1991 • 62 citations

ON THE INCONSISTENCY OF THE MLE IN CERTAIN HETEROSKEDASTIC REGRESSION MODELS

1991 • 20 citations