Threshold heteroskedastic models

Handbook of Mathematical Functions

1966 • 42,275 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

The behavior of maximum likelihood estimates under nonstandard conditions

1967 • 4,602 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Non-linear time series. A dynamical system approach

1990 • 1,974 citations

Modelling Financial Time Series

2007 • 1,507 citations

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

1990 • 1,139 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Variance Function Estimation

1987 • 649 citations

Modelling Financial Time Series.

1987 • 643 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Variance Function Estimation

1987 • 189 citations

The moment structure of ARCH processes

1985 • 165 citations

On the Invariance of the Lagrange Multiplier Test with Respect to Certain Changes in the Alternative Hypothesis

1981 • 41 citations