References

• 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
• 1986Generalized autoregressive conditional heteroskedasticity22,329 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
• 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 1993Threshold arch models and asymmetries in volatility492 cited
• 2003GARCH processes: structure and estimation482 cited
• 1992A Class of Nonlinear Arch Models412 cited
• 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour239 cited
• 1996On a double-threshold autoregressive heteroscedastic time series model211 cited
• 2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH205 cited
• 2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case146 cited
• 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
• 1997Efficient estimation in semiparametric GARCH models