References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1977Time Series Analysis: Forecasting and Control19,200 cited
• 1988Statistical analysis of cointegration vectors17,038 cited
• 1992ARCH modeling in finance4,288 cited
• 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
• 1982Formulation and estimation of dynamic models using panel data2,852 cited
• 1990Inference in Linear Time Series Models with some Unit Roots2,561 cited
• 1988Testing for Common Trends1,894 cited
• 1994Multivariate Stochastic Variance Models1,367 cited
• 1993Detrending, stylized facts and the business cycle1,202 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 1990ARCH models as diffusion approximations943 cited
• 1990Pricing foreign currency options with stochastic volatility749 cited
• 1976