References

• 1997Modelling Extremal Events4,397 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 1995Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality275 cited
• 1997Local polynomial estimators of the volatility function in nonparametric autoregression259 cited
• 2001On a Mixture Autoregressive Conditional Heteroscedastic Model178 cited
• 1992Qualitative threshold ARCH models162 cited
• 2001Conditional Heteroskedasticity Driven by Hidden Markov Chains100 cited
• 2009MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL59 cited
• 1998Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility46 cited
• 2006Estimating market risk with neural networks32 cited

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