References

• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1992ARCH modeling in finance4,288 cited
• 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
• 2004Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes568 cited
• 1986Asymptotic Theory for ARCH Models: Estimation and Testing520 cited
• 2003GARCH processes: structure and estimation482 cited
• 2019GARCH Models: Structure, Statistical Inference and Financial Applications431 cited
• 2003Least absolute deviations estimation for ARCH and GARCH models179 cited
• 2004The efficiency of the estimators of the parameters in GARCH processes176 cited
• 2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case146 cited
• 2003Estimation and Testing Stationarity for Double-Autoregressive Models135 cited
• 2011Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models110 cited
• 2001The Tail of the Stationary Distribution of an Autoregressive Process with Arch(1) Errors94 cited
• 2007A Double AR(p) Model: Structure and Estimation88 cited
• 2008Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity