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Exchange rate in transition
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Exchange rate in transition (1998)Exchange rate in transitionThe variation of certain speculative prices (1997)The variation of certain spec…A test for independence based on the correlation dimension (1996)A test for independence based…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1995)Autoregressive Conditional He…Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation (1994)Testing for Linear and Nonlin…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Imp…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Chaos and Nonlinear Dynamics:…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Macroeconomics and Reality (1980)Macroeconomics and RealityStudies of stock market volatility changes (1976)Studies of stock market volat…Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Investigating Causal Relation…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Book Review: Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)Conditional logit analysis of qualitative choice behavior (1972)"Rational" Expectations, the Optimal Monetary Instrument, and the Optimal Money Supply Rule (1975)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Generalized impulse response analysis in linear multivariate models (1998)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Cross‐Section of Volatility and Expected Returns (2006)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Oil and the Macroeconomy since World War II (1983)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Testing for Granger non-causality in heterogeneous panels (2012)Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models (1998)Modeling and Forecasting Realized Volatility (2003)Multivariate GARCH models: a survey (2006)A long memory property of stock market returns and a new model (1993)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1986Generalized autoregressive conditional heteroskedasticity23,378 cited
  • 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods23,139 cited
  • 1980Macroeconomics and Reality12,826 cited
  • 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
  • 1997The variation of certain speculative prices4,513 cited
  • 1993Measuring and Testing the Impact of News on Volatility3,841 cited
  • 1996A test for independence based on the correlation dimension3,573 cited
  • 1995Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation2,043 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,846 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,543 cited
  • 1994Testing for Linear and Nonlinear Granger Causality in the Stock Price- Volume Relation1,506 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots1,414 cited

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1991
Chaos and Nonlinear Dynamics: Application to Financial Markets
1,046 cited
  • 1976Studies of stock market volatility changes885 cited
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