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Change of structure in financial time series, long range dependence and the GARCH model

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References

1986Generalized autoregressive conditional heteroskedasticity22,329 cited
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1998The relation between implied and realized volatility1,114 cited
2000Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies399 cited
2000Non-Gaussian OU based models and some of their uses in financial economics112 cited

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2006On discriminating between long-range dependence and changes in mean160 cited
1999Occasional Structural Breaks and Long Memory154 cited
2005How can we Define the Concept of Long Memory? An Econometric Survey101 cited
2001Testing for long memory in the presence of a general trend89 cited
2000On the Cusum test for parameter changes in garch(1,1) Models79 cited
2006Recent Advances in ARCH Modelling76 cited
2004Fractional Brownian motion as a weak limit of Poisson shot noise processes—with applications to finance74 cited
2004The Cusum Test for Parameter Change in Regression Models with ARCH Errors72 cited
2002ARCH-type bilinear models with double long memory71 cited
2001Long Memory and Structural Change

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56 cited

2006MONITORING CONSTANCY OF VARIANCE IN CONDITIONALLY HETEROSKEDASTIC TIME SERIES55 cited

2009On the macroeconomic causes of exchange rate volatility54 cited

2004The Comovement of US and UK Stock Markets53 cited

2002Whittle estimation in a heavy-tailed GARCH(1,1) model51 cited

2004SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE47 cited

2009Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models45 cited