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Cited by

• 2006Recent Advances in ARCH Modelling76 cited
• 2005The L2 -structures of standard and switching-regime GARCH models75 cited
• 2013Maximum likelihood estimation of the Markov-switching GARCH model66 cited
• 2007ON THE STATIONARITY OF MARKOV-SWITCHING GARCH PROCESSES61 cited
• 2012Stable mixture GARCH models60 cited
• 2007Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference57 cited
• 2014Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns53 cited
• 2007Long memory with Markov-Switching GARCH52 cited
• 2006Stationarity of a Markov-Switching GARCH Model52 cited
• 2009Modelling Regime‐Specific Stock Price Volatility*42 cited
• 2009An Introduction to Regime Switching Time Series Models41 cited
• 2007Theory and Inference for a Markov Switching GARCH Model41 cited
• 2006Regime Switching GARCH Models39 cited
• 2009Shifts in Individual Parameters of a GARCH Model35 cited
• 2013Time-varying mixture GARCH models and asymmetric volatility