Long memory with Markov-Switching GARCH

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

Long memory and regime switching

2001 • 1,197 citations

A Markov Model of Switching-Regime ARCH

1994 • 550 citations

Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

2004 • 527 citations

A New Approach to Markov-Switching GARCH Models

2004 • 525 citations

Improving GARCH volatility forecasts with regime-switching GARCH

2002 • 461 citations

Neglecting parameter changes in GARCH models

2005 • 323 citations

A Markov Model of Switching-Regime ARCH

1994 • 248 citations

Global Trends in Numeracy 1820-1949 and its Implications for Long-Run Growth

2008 • 101 citations

Conditional Heteroskedasticity Driven by Hidden Markov Chains

2001 • 100 citations

Social Interaction and Sickness Absence

2008 • 94 citations

Identification of New Keynesian Phillips Curves from a Global Perspective

2008 • 85 citations

Financial Constraints and Other Obstacles: Are They a Threat to Innovation Activity?

2008 • 80 citations

Minority voting and long-term decisions

2009 • 79 citations

The Design of Pension Pay Out Options When the Health Status During Retirement is Uncertain

2008 • 78 citations

Young and old competing for public welfare services

2007 • 77 citations

The Actuarial Balance Sheet for Pay‐As‐You‐Go Finance: Solvency Indicators for Spain and Sweden*

2008 • 72 citations

The <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si2.gif" overflow="scroll"><mml:msup><mml:mrow><mml:mi>L</mml:mi></mml:mrow><mml:mrow><mml:mn>2</mml:mn></mml:mrow></mml:msup></mml:math>-structures of standard and switching-regime GARCH models

2005 • 71 citations

The Trade and Welfare Effects of Mergers in Space

2008 • 68 citations

MIMIC Models, Cointegration and Error Correction: An Application to the French Shadow Economy

2008 • 67 citations

Intra- and Inter-Industry Productivity Spillovers in OECD Manufacturing: A Spatial Econometric Perspective

2008 • 67 citations

Estimation of GARCH Models from the Autocorrelations of the Squares of a Process

2001 • 63 citations

A public good version of the collective household model: an empirical approach with an application to British household data

2008 • 58 citations

Preference Bias and Outsourcing to Market: A Steady-State Analysis

2008 • 58 citations

The Impact of Council's Internal Decision-Making Rules on the Future EU

2008 • 57 citations

The Dynamic Interplay of Inequality and Trust - An Experimental Study

2007 • 51 citations

Do Markets Care About Central Bank Governor Changes? Evidence from Emerging Markets

2007 • 50 citations

A Stochastic Multiple Players Multi-Issues Bargaining Model for the Piave River Basin

2007 • 46 citations

Ageing and Productivity Growth: Are There Macro-level Cohort Effects of Human Capital?

2008 • 45 citations

Product Market Integration and Income Taxation: Distortions and Gains from Trade

2007 • 42 citations

Creditor Passivity: The Effects of Bank Competition and Institutions on the Strategic Use of Bankruptcy Filings

2007 • 41 citations

A Tale of Two Debt Crises: A Stochastic Optimal Control Analysis

2008 • 40 citations

The Efficiency Loss of Capital Income Taxation under Imperfect Loss Offset Provisions

2009 • 40 citations

Intergenerational Risk Sharing, Pensions and Endogenous Labor Supply in General Equilibrium

2008 • 37 citations

Household Models: An Historical Perspective

2007 • 28 citations

Democratic Participation and the Size of Regions: An Empirical Study Using Data on German Counties

2008 • 28 citations

The Penalty-Duel and Institutional Design: Is there a Neeskens-Effect?

2007 • 26 citations

Labour Market Institutions and the Employment Intensity of Output Growth

2009 • 21 citations

FDI and the Relevance of Spatial Linkages: Do third Country Effects Matter for Dutch FDI?

2008 • 19 citations

Optimal Redistributive Tax and Education Policies in General Equilibrium

2007 • 19 citations

Persuasion as a contest

2007 • 15 citations

Strategic Outsourcing, Profit Sharing and Equilibrium Unemployment

2008 • 12 citations

Structural change and estimated persistence in the GARCH(1,1)-model

2006 • 6 citations