The DOI matches its Crossref record; 36 of the 36 references it cites were found in a registry or an index.
Neglecting parameter changes in GARCH models
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Citations
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
Press, W. H., Teukolsky, S. A., Vetterling, W. T., & Flannery, B. P. (1994) · Cited by 15,411
A long memory property of stock market returns and a new model
Ding, Z., Granger, C. W. J., & Engle, R. F. (1993) · Journal of Empirical Finance · doi:10.1016/0927-5398(93)90006-d · Cited by 3,250
Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
Bollerslev, T., & Wooldridge, J. M. (1992) · Econometric Reviews · doi:10.1080/07474939208800229 · Cited by 3,217
A 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
Fractionally integrated generalized autoregressive conditional heteroskedasticity
Baillie, R. T., Bollerslev, T., & Mikkelsen, H. O. (1996) · Journal of Econometrics · doi:10.1016/s0304-4076(95)01749-6 · Cited by 2,287
The distribution of realized stock return volatility
Andersen, T. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00055-1 · Cited by 2,259
Modelling the persistence of conditional variances
Engle, R. F., & Bollerslev, T. (1986) · Econometric Reviews · doi:10.1080/07474938608800095 · Cited by 2,058
Autoregressive conditional heteroskedasticity and changes in regime
Hamilton, J. D., & Susmel, R. (1994) · Journal of Econometrics · doi:10.1016/0304-4076(94)90067-1 · Cited by 1,832
Cited by
Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns
Cappiello, L., Engle, R. F., & Sheppard, K. (2006) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbl005 · Cited by 1,767
Metadata
- Authors
- Hillebrand, E.
- Venue
- Journal of Econometrics
- Publisher
- Elsevier BV
- Published
- 2005-11
- Volume
- 129
- Issue
- 1-2
- Pages
- 121-138
- ISSN
- 0304-4076 (ISSN-L)
- OpenAlex
- W2057884190
- Cited by
- 320
- References
- 36
- FWCI
- 24.99
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hillebrand, E. (2005). Neglecting parameter changes in GARCH models. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2004.09.005
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.
