ARCH and Bilinear Time Series Models: Comparison and Combination

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

1982 • 19,770 citations

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

An Introduction to Bilinear Time Series Models

1980 • 484 citations

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

1982 • 477 citations

Nonlinear Regression with Dependent Observations

1984 • 465 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Tests for model specification in the presence of alternative hypotheses

1983 • 355 citations

Random Coefficient Autoregressive Models: An Introduction

1982 • 352 citations

Random Coefficient Autoregressive Models: An Introduction.

1984 • 330 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Misspecified models with dependent observations

1982 • 256 citations

On the Theory of Bilinear Time Series Models

1981 • 246 citations

Testing the adequacy of a time series model

1979 • 175 citations

A Survey of Statistical Work on the Mackenzie River Series of Annual Canadian Lynx Trappings for the Years 1821-1934 and a New Analysis

1977 • 161 citations

An Introduction to Bilinear Time Series Models.

1979 • 134 citations

An Application of Nonlinear Time Series Forecasting

1983 • 97 citations

Prediction error identification methods for stationary stochastic processes

1976 • 84 citations

Estimation and Prediction for Subset Bilinear Time Series Models with Applications

1984 • 82 citations

THE ESTIMATION AND PREDICTION OF SUBSET BILINEAR TIME SERIES MODELS WITH APPLICATIONS

1981 • 71 citations

The Strong Consistency of Maximum Likelihood Estimators for ARMA Processes

1979 • 60 citations

ON THE EXISTENCE OF SOME BILINEAR TIME SERIES MODELS

1983 • 58 citations

The Time‐Variance Relationship of Security Returns: Implications for the Return‐Generating Stochastic Process

1982 • 50 citations

Forecasting White Noise

2001 • 35 citations

ON THE STABILITY OF A HETEROSCEDASTIC PROCESS

1986 • 4 citations