Non-stationarity in garch models: A bayesian analysis

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

Time Series Analysis: Forecasting and Control

1977 • 19,717 citations

American economic review

1992 • 16,670 citations

Sampling-Based Approaches to Calculating Marginal Densities

1990 • 6,498 citations

ARCH modeling in finance

1992 • 4,478 citations

Time Series Analysis: Forecasting and Control

1977 • 2,451 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Bayesian Inference in Econometric Models Using Monte Carlo Integration

1989 • 1,616 citations

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

1990 • 1,139 citations

ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING

1993 • 827 citations

Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo

1978 • 595 citations

Bayesian treatment of the independent student-t linear model

1993 • 510 citations

To criticize the critics: An objective bayesian analysis of stochastic trends

1991 • 322 citations

A Bayesian analysis of the unit root in real exchange rates

1991 • 185 citations

Exact predictive densities for linear models with arch disturbances

1989 • 134 citations

Commet

1986 • 131 citations

On Modeling Heteroskedasticity: The Student's t and Elliptical Linear Regression Models

1994 • 103 citations

Further experience in Bayesian analysis using Monte Carlo integration

1980 • 102 citations

The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function

1991 • 66 citations

SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration

1992 • 18 citations