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

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

1982 • 19,770 citations

Time Series Analysis.

1995 • 11,935 citations

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

1989 • 7,573 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

2002 • 5,336 citations

Techniques for Testing the Constancy of Regression Relationships Over Time

1975 • 4,552 citations

Time Series Analysis

1997 • 3,571 citations

Root-N-Consistent Semiparametric Regression

1988 • 2,390 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis

1992 • 1,969 citations

Modelling Nonlinear Economic Relationships

1995 • 1,322 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 1,094 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

Testing for parameter instability in linear models

1992 • 748 citations

Asymptotic Theory for ARCH Models: Estimation and Testing

1986 • 539 citations

The Econometric Analysis of Time Series.

1991 • 522 citations

Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression

1991 • 458 citations

Persistence in Variance, Structural Change, and the GARCH Model

1990 • 405 citations

Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence

1992 • 390 citations

Time Series Modelling and Interpretation

1976 • 325 citations

Modelling nonlinear economic relationships

1994 • 313 citations

Forecasting Transformed Series

1976 • 301 citations

On the application of robust, regression- based diagnostics to models of conditional means and conditional variances

1991 • 300 citations

Small-Sample Properties of ARCH Estimators and Tests

1985 • 188 citations

Testing for ARCH in the presence of additive outliers

1999 • 131 citations

Specification testing and quasi-maximum- likelihood estimation

1991 • 93 citations

Interaction Between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach

1992 • 72 citations

A Review of the Development and Application of Recursive Residuals in Linear Models

1996 • 68 citations

ARCH and Bilinearity as Competing Models for Nonlinear Dependence

1997 • 63 citations

Interaction between Autocorrelation and Conditional Heteroscedasticity: A Random-Coefficient Approach

1992 • 49 citations

Modelling Nonlinear Economic Relationships.

1995 • 38 citations

A Heteroskedasticity Test Robust to Conditional Mean Misspecification

1992 • 30 citations

A New Test for ARCH Effects and its Finite-Sample Performance

1999 • 30 citations

A New Test for ARCH Effects and Its Finite-Sample Performance

1999 • 28 citations

ARCH and Bilinearity as Competing Models for Nonlinear Dependence

1997 • 24 citations

A Review of the Development and Application of Recursive Residuals in Linear Models

1996 • 22 citations

A simple bera-jarque normality test for nonparametric residuals

1992 • 11 citations

A test of normality using nonparametrlic residuals

1998 • 3 citations

Analysis of Vector Autoregressions in the Presence of Shifts in Mean

1997 • 2 citations

Testing for Arch-Garch Errors in a Mis-Specified Regression

1992 • 1 citations