A nonlinear stochastic rational expectations model of exchange rates

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Rational Expectations and the Theory of Price Movements

1961 • 5,518 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Generalized autoregressive conditional heteroscedasticity

1986 • 1,914 citations

Collapsing exchange-rate regimes

1984 • 1,256 citations

Target Zones and Exchange Rate Dynamics

1991 • 1,163 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

A Markov model for switching regressions

1973 • 810 citations

Testing for Nonlinear Dependence in Daily Foreign Exchange Rates

1989 • 683 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange Rate Theory and Practice

1984 • 506 citations

Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market

1979 • 494 citations

The statistical properties of daily foreign exchange rates: 1974–1983

1988 • 452 citations

On non-uniqueness in rational expectations models

1983 • 416 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

An examination of foreign exchange risk under fixed and floating rate regimes

1977 • 240 citations

Spot rates, forward rates and exchange market efficiency

1977 • 205 citations

The Random Behavior of Flexible Exchange Rates: Implications for Forecasting

1975 • 147 citations

Exchange-rate dynamics under stochastic regime shifts

1991 • 136 citations

Measuring Business Cycle Time

1987 • 134 citations

Short-run fluctuations in foreign exchange rates

1982 • 134 citations

A Conditional Variance Model for Daily Deviations of an Exchange Rate

1987 • 102 citations

Balance-of-Payments Crises and Devaluation

1984 • 100 citations

Empirical Properties of Foreign Exchange Rates

1978 • 97 citations

A Model of Stochastic Process Switching

1983 • 96 citations

‘WHITE‐NOISE’ IN IMPERFECT MARKETS: THE CASE OF THE FRANC/DOLLAR EXCHANGE RATE

1977 • 75 citations

Speculative behavior of foreign exchange rates during the current float

1978 • 55 citations

A Conditional Variance Model for Daily Deviations of an Exchange Rate

1987 • 37 citations

FOREIGN EXCHANGE MARKET EFFICIENCY UNDER FLEXIBLE EXCHANGE RATES

1977 • 34 citations

`White-Noise' in Imperfect Markets: The Case of the Frac/Dollar Exchange Rate

1977 • 15 citations

Foreign Exchange Market Efficiency Under Flexible Exchange Rates

1977 • 10 citations

Inventories and Price Fluctuations under Perfect Competition and Monopol

1989 • 4 citations