References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1987Time Series Regression with a Unit Root2,821 cited
• 1990Stationarity and Persistence in the GARCH(1,1) Model1,093 cited
• 1986Multiple Time Series Regression with Integrated Processes837 cited
• 1994Asymptotic Theory for the Garch(1,1) Quasi-Maximum Likelihood Estimator617 cited
• 1991Weak Limit Theorems for Stochastic Integrals and Stochastic Differential Equations546 cited
• 1996Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models458 cited
• 1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
• 2003On adaptive estimation in nonstationary ARMA Models with GARCH errors143 cited
• 1999Distribution theory for unit root tests with conditional heteroskedasticity123 cited
• 1998Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors105 cited
• 1995Unit Root Tests Based on M Estimators98 cited
• 1996Asymptotic Theory of LAD Estimation in a Unit Root Process with Finite Variance Errors79 cited
• 2003Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence