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STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
16 references·1 citing·37 second hop
STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME (2002)STATIONARY PROCESSES THAT LOOK LIKE RANDO…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)A Nonparametric Model of Term…The Purchasing Power Parity Puzzle (1996)The Purchasing Power Parity P…Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…On alternative interest rate processes (1996)On alternative interest rate …Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Exchange Rate Targets and Currency Bands. (1993)Exchange Rate Targets and Cur…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)An Empirical Comparison of Al…ARCH models as diffusion approximations (1990)ARCH models as diffusion appr…The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…International finance and trade (1979)International finance and tra…Stochastic Differential Equations: Theory and Applications. (1976)Stochastic Differential Equat…The Energy, Economic Growth, Urbanization Nexus Across Development: Evidence from Heterogeneous Panel Estimates Robust to Cross-Sectional Dependence (2013)The Energy, Economic Growth, …Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Chaos and Nonlinear Dynamics: Application to Financial Markets (1991)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)ARCH modeling in finance (1992)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)The Pricing of Options and Corporate Liabilities (1973)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Specification Analysis of Affine Term Structure Models (2000)Term Premia and Interest Rate Forecasts in Affine Models (2002)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)Pooled Mean Group Estimation of Dynamic Heterogeneous Panels (1999)Trade Policy and Economic Growth: A Skeptic's Guide to the Cross-National Evidence (2000)The New Politics of the Welfare State (2001)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 2016Numerical solution of stochastic differential equations5,001 cited
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  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 1997A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk548 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1979International finance and trade161 cited
  • 1993Exchange Rate Targets and Currency Bands.122 cited

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  • 1996On alternative interest rate processes56 cited
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    • 2013The Energy, Economic Growth, Urbanization Nexus Across Development: Evidence from Heterogeneous Panel Estimates Robust to Cross-Sectional Dependence83 cited