Crossref Citations
This article has been cited by the following publications. This list is generated based on data provided by
Crossref.
Engle, Robert F.
and
Kroner, Kenneth F.
1995.
Multivariate Simultaneous Generalized ARCH.
Econometric Theory,
Vol. 11,
Issue. 1,
p.
122.
Lee, Tae-Hwy
1995.
Disequilibrium and uncertainty in cointegrated systems: Some empirical evidence.
Economics Letters,
Vol. 49,
Issue. 2,
p.
157.
Fiorentini, Gabriele
Calzolari, Giorgio
and
Panattoni, Lorenzo
1996.
Analytic derivatives and the computation of GARCH estimates.
Journal of Applied Econometrics,
Vol. 11,
Issue. 4,
p.
399.
Bollerslev, Tim
and
Ghysels, Eric
1996.
Periodic Autoregressive Conditional Heteroscedasticity.
Journal of Business & Economic Statistics,
Vol. 14,
Issue. 2,
p.
139.
Deb, Partha
1996.
Finite sample properties of maximum likelihood and quasi-maximum likelihood estimators of egarch models.
Econometric Reviews,
Vol. 15,
Issue. 1,
p.
51.
Shephard, Neil
1996.
Time Series Models.
p.
1.
F de Lima, Pedro J.
1996.
Nuisance parameter free properties of correlation integral based statistics.
Econometric Reviews,
Vol. 15,
Issue. 3,
p.
237.
Palm, F.C.
1996.
Statistical Methods in Finance.
Vol. 14,
Issue. ,
p.
209.
Bollerslev, Tim
and
Ole Mikkelsen, Hans
1996.
Modeling and pricing long memory in stock market volatility.
Journal of Econometrics,
Vol. 73,
Issue. 1,
p.
151.
Baillie, Richard T.
Bollerslev, Tim
and
Mikkelsen, Hans Ole
1996.
Fractionally integrated generalized autoregressive conditional heteroskedasticity.
Journal of Econometrics,
Vol. 74,
Issue. 1,
p.
3.
Pagan, Adrian
1996.
The econometrics of financial markets.
Journal of Empirical Finance,
Vol. 3,
Issue. 1,
p.
15.
Lin, Wen-Ling
1997.
Impulse Response Function for Conditional Volatility in GARCH Models.
Journal of Business & Economic Statistics,
Vol. 15,
Issue. 1,
p.
15.
Drost, Feike C.
and
Klaassen, Chris A.J.
1997.
Efficient estimation in semiparametric GARCH models.
Journal of Econometrics,
Vol. 81,
Issue. 1,
p.
193.
Saez, Marc
1997.
Option pricing under stochastic volatility and stochastic interest rate in the Spanish case.
Applied Financial Economics,
Vol. 7,
Issue. 4,
p.
379.
Linton, Oliver
1997.
An Asymptotic Expansion in the GARCH(l, 1) Model.
Econometric Theory,
Vol. 13,
Issue. 4,
p.
558.
Drost, Feike C.
and
Klaassen, Chris A.J.
1997.
Efficient Estimation in Semiparametric GARCH Models.
SSRN Electronic Journal ,
Demos, Antonis
and
Sentana, Enrique
1998.
Testing for GARCH effects: a one-sided approach.
Journal of Econometrics,
Vol. 86,
Issue. 1,
p.
97.
Drost, Feike C.
Nijman, Theo E.
and
Werker, Bas J. M.
1998.
Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity.
Journal of Business & Economic Statistics,
Vol. 16,
Issue. 2,
p.
237.
Ling, Shiqing
and
Li, W. K.
1998.
Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors.
The Annals of Statistics,
Vol. 26,
Issue. 1,
Maercker, G.
1998.
Decision Technologies for Computational Finance.
Vol. 2,
Issue. ,
p.
207.