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Cited by

• 2004Forecasting Time Series Subject to Multiple Structural Breaks111 cited
• 2010Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student’s t -distribution109 cited
• 2009Forecasting realized volatility: a Bayesian model‐averaging approach107 cited
• 2009Time-varying joint distribution through copulas97 cited
• 2004Likelihood-Based Estimation of Latent Generalized ARCH Structures94 cited
• 2006VOLATILITY AND CORRELATION FORECASTING87 cited
• 2006Bayesian estimation of the Gaussian mixture GARCH model77 cited
• 2010Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling74 cited
• 2009MCMC-based estimation of Markov Switching ARMA–GARCH models69 cited
• 2002Bayesian option pricing using asymmetric GARCH models62 cited
• 2004Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland61 cited
• 2002Bayesian analysis of switching ARCH models58 cited
• 2008Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications53 cited
• 2024Estimating the Fed’s unconventional policy shocks50 cited