References

• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,394 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,063 cited
• 1982Trends and random walks in macroeconmic time series4,708 cited
• 2000Sample Splitting and Threshold Estimation2,961 cited
• 1994Threshold heteroskedastic models2,346 cited
• 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
• 1997Inference in TAR Models636 cited
• 1993Do recessions permanently change output?478 cited
• 2005On a threshold heteroscedastic model296 cited
• 1996Conditional Quantile Estimation and Inference for Arch Models264 cited
• 2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle133 cited
• 2006The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates*122 cited
• 2006Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle86 cited
• 2001Nonlinearity in High-Frequency Financial Data and Hierarchical Models43 cited
• 2005Testing for sign and amplitude asymmetries using threshold autoregressions