Volatility regime-switching in European exchange rates prior to monetary unification

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

James D. Hamilton · Econometrica · 1989 · 9.5K citations

Mean Growth Rate, Tractable Approach, Macroeconomic Forecasting +17

ARCH modeling in finance

Tim Bollerslev, Ray Yeutien Chou, Kenneth F. Kroner · Journal of Econometrics · 1992 · 4.4K citations

Economics, Computational Finance, Financial Economics +5

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

Tim Bollerslev · The Review of Economics and Statistics · 1987 · 2.6K citations

Economics, Volatility Modeling, Financial Economics +7

Autoregressive conditional heteroskedasticity and changes in regime

James D. Hamilton, Raúl Susmel · Journal of Econometrics · 1994 · 1.9K citations

Volatility Modeling, Economics, Business +4

Modeling the conditional distribution of interest rates as a regime-switching process

Stephen Gray · Journal of Financial Economics · 1996 · 1.5K citations

Dynamic Economic Model, Monetary Policy, Economics +11