References

• 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
• 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
• 1984ARMA MODELS WITH ARCH ERRORS282 cited
• 1987Conditional Heteroscedastic Time Series Models264 cited
• 2004ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH205 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
• 2007Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero79 cited
• 2012Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models76 cited
• 2004Stability and the Lyapounov exponent of threshold AR-ARCH Models75 cited
• 2015Bootstrapping the Portmanteau Tests in Weak Auto-Regressive Moving Average Models62 cited