References

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• 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods22,971 cited
• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
• 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
• 1995Statistical inference in vector autoregressions with possibly integrated processes6,097 cited
• 2002Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis5,745 cited
• 2009Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market4,637 cited
• 1992ARCH modeling in finance4,288 cited
• 1992Efficient Tests for an Autoregressive Unit Root4,234 cited
• 1992Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis3,283 cited
• 2003Minimum Lagrange Multiplier Unit Root Test with Two Structural Breaks2,398 cited
• 2002Testing for a unit root in the nonlinear STAR framework1,567 cited