Modelling the persistence of conditional variances

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

1987 • 30,456 citations

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

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

1982 • 19,770 citations

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1979 • 8,550 citations

Expected stock returns and volatility

1987 • 4,291 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Exogeneity

1983 • 1,271 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

The financial analysts journal

1960 • 1,053 citations

Semiparametric Estimates of the Relation between Weather and Electricity Sales

1986 • 951 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Estimates of the Variance of U. S. Inflation Based upon the ARCH Model

1983 • 474 citations

Econometric Implications of the Rational Expectations Hypothesis

1980 • 436 citations

Are Business Cycles All Alike

1984 • 336 citations

The statistical distribution of exchange rates: Empirical evidence and economic implications

1987 • 326 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

A Capital-Asset Pricing Model with Time-varying Covariances

1995 • 215 citations

Rational expectations equilibrium with conditioning on past prices: A mean-variance example

1982 • 189 citations

Small-Sample Properties of ARCH Estimators and Tests

1985 • 188 citations

Combining competing forecasts of inflation using a bivariate arch model

1984 • 172 citations

The moment structure of ARCH processes

1985 • 165 citations

A Conditional Variance Model for Daily Deviations of an Exchange Rate

1987 • 102 citations

Assessing the Variability of Inflation

1983 • 95 citations

Endogenous risk in a portfolio-balance rational-expectations model of the Deutschemark-Dollar rate

1988 • 52 citations

Aggregate economic activity and the variance of inflation

1985 • 50 citations

Generalized Autoregressive Conditional Heteroskedasticity

1995 • 44 citations

Why Haven’t Nominal Rates Declined?

1984 • 23 citations

Why Are Real Interest Rates So High

1983 • 16 citations

Term structure variance bounds and time varying liquidity premia

1984 • 5 citations

Deleted Work

1955 • 0 citations