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Modeling the Euro overnight rate
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Modeling the Euro overnight rate (2007)Modeling the Euro overnight rateBond Yields and the Federal Reserve (2005)Bond Yields and the Federal R…News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)News Arrival, Jump Dynamics, …Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …State-Space Models with Regime Switching (1999)State-Space Models with Regim…Elements of Forecasting (1997)Elements of ForecastingThe Daily Market for Federal Funds (1996)The Daily Market for Federal …Testing Continuous-Time Models of the Spot Interest Rate (1996)Testing Continuous-Time Model…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP (1996)Erratum: The likelihood ratio…Federal Reserve interest rate targeting, rational expectations, and the term structure (1995)Federal Reserve interest rate…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…A Markov Model of Switching-Regime ARCH (1994)A Markov Model of Switching-R…The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp (1992)The likelihood ratio test und…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…The Changing Behavior of the Term Structure of Interest Rates (1986)The Changing Behavior of the …Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Forecasting Volatility in Financial Markets: A Review (2003)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis (1996)Stock market volatility and the business cycle (1996)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)ARCH modeling in finance (1992)Estimating continuous-time stochastic volatility models of the short-term interest rate (1997)Volatility and cross correlation across major stock markets (1998)A New Approach to Markov-Switching GARCH Models (2004)An equilibrium characterization of the term structure (1977)Specification Tests in Econometrics (1978)A Theory of the Term Structure of Interest Rates (1985)Nonparametric risk management and implied risk aversion (2000)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Granger causality in risk and detection of extreme risk spillover between financial markets (2009)Undeserved Loss: The Spread of Legitimacy Loss to Innocent Organizations in Response to Reported Corporate Deviance (2009)Threshold bipower variation and the impact of jumps on volatility forecasting (2010)Rational-expectations econometric analysis of changes in regime (1988)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Stock Return Predictability: Is it There? (2006)Testing for the Constancy of Parameters Over Time (1989)Multivariate Simultaneous Generalized ARCH (1995)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Evolving Post-World War II U.S. Inflation Dynamics (2001)A Manifesto on Psychology as Idiographic Science: Bringing the Person Back Into Scientific Psychology, This Time Forever (2004)Modeling the price dynamics of CO2 emission allowances (2008)
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References

  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1999State-Space Models with Regime Switching1,304 cited
  • 1996Testing Continuous-Time Models of the Spot Interest Rate923 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1996Erratum: The likelihood ratio test under nonstandard conditions: Testing the Markov switching model of GNP645 cited
  • 1994A Markov Model of Switching-Regime ARCH638 cited
  • 1992The likelihood ratio test under nonstandard conditions: Testing the markov switching model of gnp623 cited
  • 2004News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns561 cited
  • 2005Bond Yields and the Federal Reserve557 cited
  • 1986The Changing Behavior of the Term Structure of Interest Rates472 cited
  • 1996The Daily Market for Federal Funds426 cited
  • 1997Elements of Forecasting413 cited
  • 1995Federal Reserve interest rate targeting, rational expectations, and the term structure

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373 cited
  • 2002Conditional Jump Dynamics in Stock Market Returns358 cited
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