References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
• 1985A Theory of the Term Structure of Interest Rates8,333 cited
• 1977An equilibrium characterization of the term structure6,104 cited
• 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
• 1992An Empirical Comparison of Alternative Models of the Short-Term Interest Rate1,679 cited
• 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
• 2007Modelling Financial Time Series1,415 cited
• 1994Multivariate Stochastic Variance Models1,367 cited
• 1999State-Space Models with Regime Switching1,304 cited
• 1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
• 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
• 1992Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model977 cited
• 1996