International Review of Economics & Finance · 2003 · 223 citations · 39 references
Natural ResourcesEconomicsNatural Resource EconomicsEconometricsEnergy EconomicsFinancial EconomicsAsset Pricing EmpiricsCommodity Price DynamicsEquity MarketsNatural Gas Market EconomicsOil EconomicsCrude Oil MarketsOil IndustryOil Market StructureOil Price VolatilityOil Prices
39
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text
Business, Finance, Econometrics +11
Testing for a unit root in time series regression
Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations
Statistical analysis of cointegration vectors
Søren Johansen · Journal of Economic Dynamics and Control · 1988 · 16.8K citations
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