Autoregressive Conditional Density Estimation

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

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Maximum Likelihood Estimation of Misspecified Models

1983 • 3,727 citations

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

1987 • 2,510 citations

Testing for the Constancy of Parameters over Time

1989 • 827 citations

Semiparametric ARCH Models

1991 • 487 citations

A Probability Distribution and its Uses in Fitting Data

1979 • 402 citations

Prediction in dynamic models with time-dependent conditional variances

1992 • 286 citations

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

1988 • 177 citations

Qualitative threshold ARCH models

1992 • 165 citations

Local scale models

1994 • 75 citations

Non-Parametric Estimation and the Risk Premium

1988 • 63 citations