The DOI matches its Crossref record; 23 of the 23 references it cites were found in a registry or an index.
Unobserved component time series models with Arch disturbances
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Cites
Generalized autoregressive conditional heteroskedasticity
Bollerslev, T. (1986) · Journal of Econometrics · doi:10.1016/0304-4076(86)90063-1 · Cited by 22,254
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
The arbitrage theory of capital asset pricing
Ross, S. A. (1976) · Journal of Economic Theory · doi:10.1016/0022-0531(76)90046-6 · Cited by 7,009
Forecasting, Structural Time Series Models and the Kalman Filter
Fildes, R., Harvey, A. C., West, M., & Harrison, J. (1991) · The Journal of the Operational Research Society · doi:10.2307/2583225 · Cited by 4,682
Self-citationForecasting, Structural Time Series Models and the Kalman Filter
Harvey, A. C. (1990) · doi:10.1017/cbo9781107049994 · Cited by 4,195
Self-citationA Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return
Bollerslev, T. (1987) · The Review of Economics and Statistics · doi:10.2307/1925546 · Cited by 2,565
Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
Engle, R. F., Lilien, D. M., & Robins, R. P. (1987) · Econometrica · doi:10.2307/1913242 · Cited by 2,469
Modelling the persistence of conditional variances
Engle, R. F., & Bollerslev, T. (1986) · Econometric Reviews · doi:10.1080/07474938608800095 · Cited by 2,058
An Introduction to Bayesian Inference in Econometrics.
Sargan, J. D., & Zellner, A. (1974) · Journal of the Royal Statistical Society. Series A (General) · doi:10.2307/2344559 · Cited by 1,914
Mean reversion in stock prices
Poterba, J. M., & Summers, L. H. (1988) · Journal of Financial Economics · doi:10.1016/0304-405x(88)90021-9 · Cited by 1,858
Cited by
Multivariate GARCH models: a survey
Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006) · Journal of Applied Econometrics · doi:10.1002/jae.842 · Cited by 2,045
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility
Lin, W.-L., Engle, R. F., & Ito, T. (1994) · Review of Financial Studies · doi:10.1093/rfs/7.3.507 · Cited by 873
ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING
Bera, A. K., & Higgins, M. L. (1993) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.1993.tb00170.x · Cited by 785
Metadata
- Authors
- Harvey, A., Ruiz, E., & Sentana, E.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 1992-04
- Volume
- 52
- Issue
- 1-2
- Pages
- 129-157
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W1995864121
- Cited by
- 329
- References
- 23
- FWCI
- 7.94
- Type
- journal article
- Language
- en
- Open access
- green
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- Harvey, A., Ruiz, E., & Sentana, E. (1992). Unobserved component time series models with Arch disturbances. Journal of Econometrics. https://doi.org/10.1016/0304-4076(92)90068-3
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
