References

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• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1993Tests for Parameter Instability and Structural Change With Unknown Change Point4,325 cited
• 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
• 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
• 2001Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk2,419 cited
• 2004CAViaR2,210 cited
• n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
• 1998Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data1,817 cited
• 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance1,180 cited
• 1999Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle1,174 cited
• 2012Stock Market Volatility and Macroeconomic Fundamentals1,122 cited
• 2001The Long and Large Decline in U.S. Output Volatility995 cited
• 2008The Spline-GARCH Model for Low-Frequency Volatility and Its Global Macroeconomic Causes