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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Convergence of Probability Measures

1999 • 14,297 citations

Convergence of Probability Measures

1969 • 7,189 citations

Probability and Measure.

1996 • 6,988 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

Modelling the persistence of conditional variances

1986 • 2,029 citations

Almost Sure Convergence.

1975 • 1,313 citations

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

1990 • 1,139 citations

Advanced econometrics

1988 • 944 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Probability and Measure.

1980 • 475 citations

Common Persistence in Conditional Variances

1993 • 314 citations

Generic Uniform Convergence

1992 • 303 citations