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Evaluating GARCH models

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
1993Measuring and Testing the Impact of News on Volatility3,692 cited
1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
1988Testing Linearity Against Smooth Transition Autoregressive Models1,365 cited
1990Persistence in Variance, Structural Change, and the GARCH Model1,188 cited
1983DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS1,124 cited
1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
1993Measuring and Testing the Impact of News on Volatility755 cited
1992Inequality Constraints in the Univariate GARCH Model611 cited
2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS566 cited
1995Quadratic ARCH Models559 cited
1996Testing the adequacy of smooth transition autoregressive models536 cited
2003Asymptotic theory for multivariate GARCH processes

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301 cited

1994ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON‐LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY285 cited

Cited by

2009Practical Issues in the Analysis of Univariate GARCH Models198 cited
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2004SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS143 cited
2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS135 cited
2005Evaluating Models of Autoregressive Conditional Duration116 cited
2013Modelling volatility by variance decomposition112 cited
2002Residual‐based diagnostics for conditional heteroscedasticity models101 cited
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2016Causality between oil prices and the stock market in China: The relevance of the reformed oil product pricing mechanism93 cited
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