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

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 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

A Simple Test for Heteroscedasticity and Random Coefficient Variation

1979 • 4,713 citations

ARCH modeling in finance

1992 • 4,478 citations

Maximum Likelihood Estimation of Misspecified Models

1982 • 3,838 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

Matrix Differential Calculus with Applications in Statistics and Econometrics.

1988 • 2,781 citations

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

1987 • 2,601 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

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

Pseudo Maximum Likelihood Methods: Theory

1984 • 1,366 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Multivariate regression models for panel data

1982 • 1,231 citations

Stationarity and Persistence in the GARCH(1,1) Model

1990 • 1,139 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Handbook of Econometrics.

1985 • 815 citations

Asymptotic efficiency in estimation with conditional moment restrictions

1987 • 761 citations

Stock Returns and Volatility

1990 • 760 citations

A note on studentizing a test for heteroscedasticity

1981 • 567 citations

Wald, likelihood ratio, and Lagrange multiplier tests in econometrics

1984 • 547 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

Intra-Day and Inter-Market Volatility in Foreign Exchange Rates

1991 • 500 citations

Semiparametric ARCH Models

1991 • 487 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

The econometric analysis of models with risk terms

1988 • 374 citations

A general approach to lagrange multiplier model diagnostics

1982 • 371 citations

Instrumental Variables Regression with Independent Observations

1982 • 339 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

ARMA MODELS WITH ARCH ERRORS

1984 • 290 citations

Testing for multiplicative heteroskedasticity

1978 • 283 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

Misspecified models with dependent observations

1982 • 256 citations

Maximum Likelihood Estimation for Dependent Observations

1976 • 255 citations

More Efficient Estimation in the Presence of Heteroscedasticity of Unknown Form

1983 • 239 citations

ON THE CORRELATION STRUCTURE FOR THE GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTIC PROCESS

1988 • 237 citations

Small-Sample Properties of ARCH Estimators and Tests

1985 • 188 citations

Consistent maximum-likelihood estimation with dependent observations

1986 • 95 citations

A Unified Theory of Consistent Estimation for Parametric Models

1985 • 94 citations

Regression Analysis When the Variance of the Dependent Variable is Proportional to the Square of its Expectation

1973 • 86 citations

Heteroskedasticity-Robust Tests in Regressions Directions

1985 • 80 citations

Heteroskedasticity-Robust Tests in Regression Directions

1985 • 73 citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

1991 • 62 citations

ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS

1986 • 53 citations

Asymptotic properties of econometric estimators

1986 • 29 citations

Regression Analysis when the Variance of the Dependent Variable is Proportional to the Square of its Expectation

1973 • 27 citations

Asymptotic Properties of Quasi-Maximum Likelihood Estimators and Test Statistics

1981 • 20 citations

ON THE INCONSISTENCY OF THE MLE IN CERTAIN HETEROSKEDASTIC REGRESSION MODELS

1991 • 20 citations