Estimation of Stochastic Volatility Models with Diagnostics

Estimating the Dimension of a Model

1978 • 43,634 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

1980 • 3,256 citations

A long memory property of stock market returns and a new model

1993 • 3,227 citations

The Price Variability-Volume Relationship on Speculative Markets

1983 • 1,501 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Stock Prices and Volume

1992 • 1,388 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

5 Stochastic volatility

1996 • 1,243 citations

Nonlinear Statistical Models.

1989 • 1,147 citations

Which Moments to Match?

1996 • 1,056 citations

Testing Continuous-Time Models of the Spot Interest Rate

1996 • 1,009 citations

Indirect inference

1993 • 969 citations

Semi-Nonparametric Maximum Likelihood Estimation

1987 • 926 citations

Statistical aspects of ARCH and stochastic volatility

1996 • 788 citations

Nonlinear Statistical Models

1987 • 776 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

Semiparametric ARCH Models

1991 • 487 citations

GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study

1996 • 476 citations

Nonlinear Dynamic Structures

1993 • 465 citations

Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications

1989 • 461 citations

Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns

1996 • 449 citations

Stochastic volatility in asset prices estimation with simulated maximum likelihood

1994 • 403 citations

Nonparametric and Semiparametric Methods in Econometrics and Statistics

1991 • 377 citations

The Fractional Unit Root Distribution

1990 • 226 citations

Long memory in stochastic volatility

2007 • 211 citations

[Bayesian Analysis of Stochastic Volatility Models]: Reply

1994 • 205 citations

Semiparametric ARCH Models

1991 • 204 citations

Qualitative and asymptotic performance of SNP density estimators

1996 • 125 citations

New Directions in Time Series Analysis

1993 • 112 citations

Bayesian comparison of econometric models

1994 • 100 citations

A Nonparametric Approach to Nonlinear Time Series Analysis: Estimation and Simulation

1993 • 79 citations

Nonparametric and semiparametric methods in econometrics and statistics : proceedings of the Fifth International Symposium in Economic Theory and Econometrics

1991 • 79 citations

Convergence Rates of SNP Density Estimators

1996 • 55 citations

Stochastic Volatility and the Distribution of Exchange Rate News

1994 • 22 citations

Computational techniques for Econometrics and Economic Analysis

1995 • 22 citations