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Time Series Models in Econometrics, Finance and Other Fields
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Time Series Models in Econometrics, Finance and Other Fields (1997)Time Series Models in Econometrics, Finan…Implications of oil prices shocks for the major emerging economies: A comparative analysis of BRICS (2018)Implications of oil prices sh…Regime-switching stochastic volatility: Evidence from the crude oil market (2009)Regime-switching stochastic v…An Introduction to Univariate GARCH Models (2009)An Introduction to Univariate…Chapter 12 Forecasting with Breaks (2006)Chapter 12 Forecasting with B…Robustifying forecasts from equilibrium-correction systems (2005)Robustifying forecasts from e…Bootstrap prediction for returns and volatilities in GARCH models (2005)Bootstrap prediction for retu…Volatility forecasting with smooth transition exponential smoothing (2004)Volatility forecasting with s…A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour (2004)A continuous-time GARCH proce…Univariate and multivariate stochastic volatility models: estimation and diagnostics (2003)Univariate and multivariate s…The stochastic conditional duration model: a latent variable model for the analysis of financial durations (2003)The stochastic conditional du…Temporal aggregation of volatility models (2003)Temporal aggregation of volat…Hyperbolic Processes in Finance (2003)Hyperbolic Processes in Finan…Modelling by Lévy Processess for Financial Econometrics (2001)Modelling by Lévy Processess …Stochastic volatility models: conditional normality versus heavy-tailed distributions (2000)Stochastic volatility models:…Full Bayesian Inference for GARCH and EGARCH Models (2000)Full Bayesian Inference for G…The Econometrics of Macroeconomic Forecasting (1997)The Econometrics of Macroecon…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Econometrics of Financial Markets (1997)On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process (2004)Long range dependence in financial markets (2005)Affine 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effectiveness (2014)Return and volatility linkages between CO2 emission and clean energy stock prices (2018)Oil and the Macroeconomy since World War II (1983)Time Varying Structural Vector Autoregressions and Monetary Policy (2005)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Importance of oil shocks and the GCC macroeconomy: A structural VAR analysis (2019)Visiting effects of crude oil price on economic growth in BRICS countries: Fresh evidence from wavelet-based quantile-on-quantile tests (2019)Geopolitical risks, oil price shocks and inflation: Evidence from a TVP–SV–VAR approach (2023)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)The Price Variability-Volume Relationship on Speculative Markets (1983)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)A family of autoregressive conditional duration models (2004)AUTOREGRESSIVE CONDITIONAL 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  • 2003Univariate and multivariate stochastic volatility models: estimation and diagnostics259 cited
  • 2003The stochastic conditional duration model: a latent variable model for the analysis of financial durations246 cited
  • 2004A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour239 cited
  • 2003Temporal aggregation of volatility models215 cited
  • 2009An Introduction to Univariate GARCH Models174 cited
  • 2009Regime-switching stochastic volatility: Evidence from the crude oil market159 cited
  • 2005Bootstrap prediction for returns and volatilities in GARCH models156 cited
  • 2018Implications of oil prices shocks for the major emerging economies: A comparative analysis of BRICS154 cited
  • 2001Modelling by Lévy Processess for Financial Econometrics152 cited
  • 2003Hyperbolic Processes in Finance146 cited
  • 2006Chapter 12 Forecasting with Breaks144 cited
  • 2000Full Bayesian Inference for GARCH and EGARCH Models141 cited
  • 2000Stochastic volatility models: conditional normality versus heavy-tailed distributions135 cited
  • 2005Robustifying forecasts from equilibrium-correction systems133 cited

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  • 2004Volatility forecasting with smooth transition exponential smoothing122 cited
  • 1997The Econometrics of Macroeconomic Forecasting116 cited