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• 2008A multiple regime smooth transition Heterogeneous Autoregressive model for long memory and asymmetries175 cited
• 2002The realized volatility of FTSE‐100 futures prices156 cited
• 2013Do emerging markets become more efficient as they develop? Long memory persistence in equity indices136 cited
• 2002Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH‐NIG model133 cited
• 2006Small sample properties of GARCH estimates and persistence132 cited
• 2006Chapter 1 Bayesian Forecasting122 cited
• 2011Stochastic Volatility in General Equilibrium113 cited
• 2002Forecasting and trading currency volatility: an application of recurrent neural regression and model combination105 cited
• 1994Trading futures using a channel rule: A study of the predictive power of technical analysis with currency examples98 cited
• 2003Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models89 cited
• 1999Multiscale behaviour of volatility autocorrelations in a financial market88 cited
• 1992Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?83 cited
• 2020Studying the properties of the Bitcoin as a diversifying and hedging asset through a copula analysis: Constant and time-varying