References

• 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1988Testing for a Unit Root in Time Series Regression19,288 cited
• 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
• 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
• 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
• 1999Modeling Term Structures of Defaultable Bonds2,547 cited
• 1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
• 2008Forecasting Default with the Merton Distance to Default Model2,220 cited
• 2000What is an Oil Shock?2,194 cited
• 2004Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market2,087 cited
• 2002SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS1,175 cited
• 2005An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps1,166 cited
• 1992Characterizing nonlinearities in business cycles using smooth transition autoregressive models