Qualitative threshold ARCH models

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 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

Option pricing: A simplified approach

1979 • 6,128 citations

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

1987 • 2,510 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Threshold Models in Non-linear Time Series Analysis

1983 • 1,541 citations

Pseudo Maximum Likelihood Methods: Theory

1984 • 1,366 citations

Threshold Autoregression, Limit Cycles and Cyclical Data

1980 • 1,177 citations

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

1989 • 778 citations

ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS

1986 • 571 citations

Semiparametric ARCH Models

1991 • 487 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR

1990 • 249 citations

A multiple-threshold AR(1) model

1985 • 160 citations

Théorie des matrices

1990 • 132 citations

Asset Pricing with a FACTOR-ARCH Covariance Structure: Empirical Estimates for Treasury Bills

1995 • 103 citations

Moindres carrés asymptotiques

1985 • 72 citations

From a var model to a structural model, with an application to the wage–price spiral

1990 • 64 citations

A General Framework for Testing a Null Hypothesis in a “Mixed” Form

1989 • 48 citations

Generalized Wald Methods for Testing Nonlinear Implicit and Overidentifying Restrictions

1983 • 38 citations

A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach

1989 • 22 citations

A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach

1989 • 11 citations

Modèles de séries chronologiques avec seuil

1988 • 3 citations