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• 2004Likelihood-Based Estimation of Latent Generalized ARCH Structures94 cited
• 2005Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes92 cited
• 2014Bayesian forecasting and portfolio decisions using dynamic dependent sparse factor models69 cited
• 2006Inference for Adaptive Time Series Models: Stochastic Volatility and Conditionally Gaussian State Space Form60 cited
• 2005Changing beliefs and the term structure of interest rates: Cross-equation restrictions with drifting parameters54 cited
• 2002Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics54 cited
• 2005Volatility Transmission Models: A Survey46 cited
• 2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol45 cited
• 2016Density forecasting using Bayesian global vector autoregressions with stochastic volatility41 cited
• 2022Comparing stochastic volatility specifications for large Bayesian VARs40 cited
• 2020How important are global factors for understanding the dynamics of international capital flows?40 cited
• 2015Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance38 cited
• 2010Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors