articleTop 1% cited
Long memory processes and fractional integration in econometrics
Journal of Econometrics · 1996 · Vol. 73(1) · pp. 5–59
Richard T. Baillie✉(Michigan State University)
Complex Systems and Time Series AnalysisFinancial Risk and Volatility ModelingMarket Dynamics and VolatilityEconometricsLong memorySection (typography)EconomicsComputer scienceVolatility (finance)
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References
ARCH modeling in finance
Journal of Econometrics · 1992 · 4,361 citations
Testing the null hypothesis of stationarity against the alternative of a unit root
Journal of Econometrics · 1992 · 12,417 citations
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1996 · 2,286 citations
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica · 1982 · 20,395 citations
Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series
The Annals of Statistics · 1986 · 883 citations
Conditional Heteroskedasticity in Asset Returns: A New Approach
Econometrica · 1991 · 10,302 citations
Generalized autoregressive conditional heteroskedasticity
Journal of Econometrics · 1986 · 22,015 citations
Noah, Joseph, and Operational Hydrology
Water Resources Research · 1968 · 1,108 citations
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