References

• 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
• 1995Likelihood-Based Inference in Cointegrated Vector Autoregressive Models5,336 cited
• 1987Time Series Regression with a Unit Root2,821 cited
• 2009EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?*1,130 cited
• 2003ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL887 cited
• 2004Bootstrapping autoregressions with conditional heteroskedasticity of unknown form631 cited
• 2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH205 cited
• 2015Tests for explosive financial bubbles in the presence of non-stationary volatility175 cited
• 2006Testing for unit roots in time series models with non-stationary volatility168 cited
• 2004Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case146 cited
• 2007BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY145 cited
• 2006Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models144 cited
• 2003Estimation and Testing Stationarity for Double-Autoregressive Models135 cited
• 2012Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models115 cited
• 2010