Bivariate garch estimation of the optimal commodity futures Hedge

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

1987 • 30,456 citations

Generalized autoregressive conditional heteroskedasticity

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

1982 • 19,770 citations

Testing for a unit root in time series regression

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The Behavior of Stock-Market Prices

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The variation of certain speculative prices

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The Variation of Certain Speculative Prices

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Expected stock returns and volatility

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A Capital Asset Pricing Model with Time-Varying Covariances

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Time Series Regression with a Unit Root

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

1987 • 2,601 citations

Trends and random walks in macroeconomic time series

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

1987 • 2,510 citations

Théorie de la spéculation

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Modelling the persistence of conditional variances

1986 • 2,029 citations

Asymptotic Properties of Residual Based Tests for Cointegration

1990 • 1,996 citations

Estimation and Inference in Nonlinear Structural Models

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The Hedging Performance of the New Futures Markets

1979 • 1,338 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,128 citations

The Message in Daily Exchange Rates

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

1989 • 778 citations

Stock Returns and Volatility

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Dynamic Macroeconomic Theory

1988 • 759 citations

Estimation of the Optimal Futures Hedge

1988 • 409 citations

Generalized Optimal Hedge Ratio Estimation

1989 • 391 citations

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

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Cross Hedging

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COMMODITY FUTURES: TRENDS OR RANDOM WALKS?

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The optimal hedge ratio in unbiased futures markets

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Econometric tests of rationality and market efficiency

1989 • 140 citations

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

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A Conditional Variance Model for Daily Deviations of an Exchange Rate

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A note on the hedging effectiveness of foreign currency futures

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Dynamic Macroeconomic Theory

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The Distribution of Shortrun Commodity Price Movements

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