High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Specification Tests in Econometrics

1978 • 17,234 citations

Information Theory and an Extension of the Maximum Likelihood Principle

1998 • 16,234 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

ARCH modeling in finance

1992 • 4,478 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

1992 • 3,405 citations

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

1987 • 2,510 citations

The Stationary Bootstrap

1994 • 2,211 citations

Very fast simulated re-annealing

1989 • 1,259 citations

Robust Regression by Means of S-Estimators

1984 • 918 citations

The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data

1974 • 897 citations

High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale

1988 • 364 citations

Generic Uniform Convergence

1992 • 303 citations

Bias- and efficiency-robustness of general M-estimators for regression with random carriers

1979 • 118 citations

Breakdown in Nonlinear Regression

1992 • 96 citations

Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts

1991 • 91 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach**Reprinted from Econometrica59 (1991), 347–370.

1996 • 87 citations

Basic structure of the asymptotic theory in dynamic nonlinear econometric models

1991 • 87 citations

Very Fast Simulated Re-Annealing

1999 • 46 citations

An Alternative Definition of Finite-Sample Breakdown Point with Applications to Regression Model Estimators

1995 • 32 citations