Moments of Markov switching models

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 New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

1989 • 9,360 citations

The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

1989 • 7,573 citations

The Theory of Stochastic Processes

1966 • 3,500 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Autoregressive conditional heteroskedasticity and changes in regime

1994 • 1,846 citations

Modeling the conditional distribution of interest rates as a regime-switching process

1996 • 1,526 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

Testing for a Unit Root in a Time Series With a Changing Mean

1990 • 1,090 citations

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

1990 • 1,006 citations

Are Economic Time Series Asymmetric over the Business Cycle?

1984 • 960 citations

Rational-expectations econometric analysis of changes in regime

1988 • 933 citations

A Markov model of heteroskedasticity, risk, and learning in the stock market

1989 • 609 citations

Modeling The persistence Of Conditional Variances: A Comment

1986 • 463 citations

Mean Reversion in Equilibrium Asset Prices

1990 • 455 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 405 citations

Testing for a Unit Root in a Time Series with a Changing Mean

1990 • 325 citations

“Infinite Variance” and Research Strategy in Time Series Analysis

1972 • 144 citations

Testing for ARCH in the presence of a possibly misspecified conditional mean

1999 • 84 citations

"Infinite Variance" and Research Strategy in Time Series Analysis

1972 • 74 citations

A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots

1991 • 68 citations