A Class of Nonlinear Arch Models

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

An Analysis of Transformations

1964 • 13,718 citations

ARCH modeling in finance

1992 • 4,478 citations

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

1987 • 2,601 citations

Capital-Labor Substitution and Economic Efficiency

1961 • 2,100 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Transformation and Weighting in Regression.

1990 • 1,182 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Nonlinear Dynamics and Stock Returns

1989 • 784 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

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

1988 • 452 citations

Forecasting Transformed Series

1976 • 301 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Conditional Heteroscedastic Time Series Models

1987 • 220 citations

Combining competing forecasts of inflation using a bivariate arch model

1984 • 172 citations

Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity

1988 • 117 citations

Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach

1992 • 72 citations

Term structure of interest rates in the Singapore Asian dollar market

1991 • 56 citations

Time series forecasting models involving power transformations

1984 • 29 citations

ON THE INCONSISTENCY OF THE MLE IN CERTAIN HETEROSKEDASTIC REGRESSION MODELS

1991 • 20 citations

A TEST FOR CONDITIONAL HETERSKEDASTICITY IN TIME SERIES MIDELS

1990 • 2 citations