Bayesian Analysis of Stochastic Volatility Models

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images

1984 • 17,865 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Sampling-Based Approaches to Calculating Marginal Densities

1990 • 6,498 citations

ARCH modeling in finance

1992 • 4,478 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

The Calculation of Posterior Distributions by Data Augmentation

1987 • 3,679 citations

Optimal Filtering

1982 • 3,342 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Evaluating the Accuracy of Sampling-Based Approaches to the Calculation of Posterior Moments

1991 • 2,548 citations

Stochastic Simulation

1987 • 1,835 citations

Modelling Financial Time Series

2007 • 1,507 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Stock Prices and Volume

1992 • 1,388 citations

Time series models

1981 • 1,163 citations

Which Moments to Match?

1996 • 1,056 citations

ARCH models as diffusion approximations

1990 • 974 citations

Chaos and Nonlinear Dynamics: Application to Financial Markets

1991 • 947 citations

Option values under stochastic volatility: Theory and empirical estimates

1987 • 928 citations

Pricing foreign currency options with stochastic volatility

1990 • 780 citations

An exact likelihood analysis of the multinomial probit model

1994 • 552 citations

A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling

1992 • 540 citations

Stochastic volatility in asset prices estimation with simulated maximum likelihood

1994 • 403 citations

Quasi-maximum likelihood estimation of stochastic volatility models

1994 • 311 citations

Markov Chains for Exploring Posteior Distributions

1991 • 227 citations

Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series

1993 • 178 citations

On Fitting A Recalcitrant Series: The Pound/Dollar Exchange Rate, 1974- 83

1988 • 177 citations

Fitting nonlinear time-series models with applications to stochastic variance models

1993 • 103 citations

The time series behavior of stock market volatility and returns

1988 • 62 citations

Quasi-Maximum Likelihood Estimation of Stochastic Variance Models

1992 • 13 citations