References

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• 1963The Variation of Certain Speculative Prices4,851 cited
• 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
• 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
• 1982On Some Simple Estimates of an Exponent of Regular Variation564 cited
• 1994Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets517 cited
• 1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited
• 1997Tail index and quantile estimation with very high frequency data313 cited
• 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
• 1988Empirical Modeling of Exchange Rate Dynamics287 cited
• 2000Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian192 cited
• 1997Estimating the Density Tail Index for Financial Time Series135 cited
• 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns131 cited
• 1988Testing the martingale hypothesis in deutsche mark futures with models specifying the form of heteroscedasticity