Daily exchange rate behaviour and hedging of currency risk

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

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

1982 • 19,770 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Bayes Factors

1995 • 10,562 citations

Sampling-Based Approaches to Calculating Marginal Densities

1990 • 6,498 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1991 • 5,040 citations

Forecasting, Structural Time Series Models and the Kalman Filter

1990 • 3,965 citations

Understanding the Metropolis-Hastings Algorithm

1995 • 3,536 citations

Evaluating Interval Forecasts

1998 • 2,571 citations

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

1991 • 2,548 citations

Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

1998 • 2,294 citations

On Gibbs sampling for state space models

1994 • 1,971 citations

Marginal Likelihood from the Gibbs Output

1995 • 1,819 citations

Bayesian Computation Via the Gibbs Sampler and Related Markov Chain Monte Carlo Methods

1993 • 1,659 citations

Investing for the Long Run when Returns Are Predictable

2000 • 1,395 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

Understanding the Metropolis-Hastings Algorithm

1995 • 1,264 citations

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

1990 • 1,139 citations

Exchange rates and fundamentals: Evidence on long-horizon predictability

1995 • 1,120 citations

Value at risk: the new benchmark for controlling market risk

1996 • 1,087 citations

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

1992 • 1,038 citations

Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

1990 • 1,006 citations

Bayes-Stein Estimation for Portfolio Analysis

1986 • 968 citations

Generalized Linear Models with Random Effects; a Gibbs Sampling Approach

1991 • 925 citations

International Portfolio Diversification with Estimation Risk

1985 • 705 citations

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

1994 • 633 citations

The simulation smoother for time series models

1995 • 588 citations

Dynamic Generalized Linear Models and Bayesian Forecasting

1985 • 524 citations

The forward premium puzzle: different tales from developed and emerging economies

2000 • 513 citations

Statistical algorithms for models in state space using SsfPack 2.2

1999 • 495 citations

Measuring the Pricing Error of the Arbitrage Pricing Theory

1996 • 425 citations

Technical trading rule profitability and foreign exchange intervention

1999 • 404 citations

Bayesian Analysis of Stochastic Volatility Models

1994 • 392 citations

Compliance as an Explanatory Variable in Clinical Trials

1991 • 297 citations

Intermediate Statistics and Econometrics: A Comparative Approach

1997 • 260 citations

An Exploration of the Forward Premium Puzzle in Currency Markets

1997 • 253 citations

Bayesian inference on GARCH models using the Gibbs sampler

1998 • 240 citations

Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

1995 • 206 citations

Markov chain Monte Carlo in conditionally Gaussian state space models

1996 • 189 citations

Arch

1995 • 138 citations

Exact predictive densities for linear models with arch disturbances

1989 • 134 citations

Bayesian Inference and Portfolio Efficiency

1995 • 102 citations

Intermediate Statistics and Econometrics: A Comparative Approach.

1996 • 98 citations

Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory

1990 • 83 citations

A bayesian approach to testing the arbitrage pricing theory

1991 • 81 citations

Non-stationarity in garch models: A bayesian analysis

1993 • 72 citations

Testing for integration using evolving trend and seasonals models: A Bayesian approach

2000 • 56 citations