References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1988Statistical analysis of cointegration vectors17,038 cited
• 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
• 1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,774 cited
• 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,984 cited
• 1995Multivariate Simultaneous Generalized ARCH4,510 cited
• 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
• 1993Measuring and Testing the Impact of News on Volatility3,692 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
• 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
• 1997Multiple Trend Breaks and the Unit-Root Hypothesis