The cost of carry model and regime shifts in stock index futures markets: An empirical investigation

Maximum Likelihood from Incomplete Data Via the EM Algorithm

1977 • 46,601 citations

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

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

1982 • 19,770 citations

Testing for a unit root in time series regression

1988 • 17,004 citations

Statistical analysis of cointegration vectors

1988 • 16,501 citations

Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1991 • 11,052 citations

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Introduction to Statistical Time Series

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Critical values for cointegration tests

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A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics¹

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DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

1987 • 2,016 citations

Analysis of time series subject to changes in regime

1990 • 1,948 citations

Autoregressive conditional heteroskedasticity and changes in regime

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Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom

1978 • 1,632 citations

Modelling Nonlinear Economic Relationships

1993 • 1,413 citations

Modelling Nonlinear Economic Relationships

1995 • 1,322 citations

FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION

1993 • 1,266 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

Forecasting Economic Time Series

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The Dynamics of Stock Index and Stock Index Futures Returns

1990 • 839 citations

Long-Run Economic Relationships

1991 • 732 citations

A Further Analysis of the Lead–Lag Relationship Between the Cash Market and Stock Index Futures Market

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Price Movements and Price Discovery in Futures and Cash Markets

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Markov-Switching Vector Autoregressions

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The Temporal Price Relationship between S&P 500 Futures and the S&P 500 Index

1987 • 491 citations

Hypothesis testing when a nuisance parameter is present only under the alternative

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Estimation and Testing of Cointegrated Systems by an Autoregressive Approximation

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Hedging Performance and Basis Risk in Stock Index Futures

1984 • 339 citations

Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?

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Non-linear time series and Markov chains

1990 • 250 citations

Nonlinear dynamics, chaos, and instability

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The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence

1983 • 183 citations

Index Arbitrage and Nonlinear dynamics Between the S&P 500 Futures and Cash

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Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?

1993 • 138 citations

THRESHOLD AUTOREGRESSIVE MODELING IN FINANCE: THE PRICE DIFFERENCES OF EQUIVALENT ASSETS¹

1994 • 119 citations

“Chaos” in futures markets? A nonlinear dynamical analysis

1991 • 117 citations

An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets

1997 • 79 citations

Statistical Analysis of Cointegrated VAR Processes with Markovian Regime Shifts

1996 • 72 citations

The behaviour of futures prices over time

1985 • 50 citations

Linear dependence, nonlinear dependence and petroleum futures market efficiency

1997 • 40 citations

Non-linear time series and Markov chains

1990 • 30 citations

Daily futures price changes and non-linear dynamics

1994 • 27 citations

Modeling nonlinear dynamics of daily futures price changes

1999 • 27 citations

Predicting spot exchange rates in a nonlinear estimation framework using futures prices

1997 • 6 citations