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- 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
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- 1977Time Series Analysis: Forecasting and Control19,200 cited
- 1988Statistical analysis of cointegration vectors17,038 cited
- 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
- 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 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
- 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
- 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
- 1993Measuring and Testing the Impact of News on Volatility3,692 cited
- 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
- 1994Threshold heteroskedastic models2,294 cited
- 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis1,956 cited
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