Hedging crude oil using refined product: A regime switching asymmetric DCC approach

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

David A. Dickey, Wayne A. Fuller · Journal of the American Statistical Association · 1979 · 23K citations · Full text

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Generalized autoregressive conditional heteroskedasticity

Tim Bollerslev · Journal of Econometrics · 1986 · 22.3K citations · Full text

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

Robert F. Engle · Econometrica · 1982 · 20.6K citations

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Testing for a unit root in time series regression

Peter C.B. Phillips, Pierre Perrón · Biometrika · 1988 · 17.9K citations

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Testing the null hypothesis of stationarity against the alternative of a unit root

Denis Kwiatkowski, Peter C.B. Phillips, Peter Schmidt et al. · Journal of Econometrics · 1992 · 12.6K citations

Social Sciences, Economics, Econometrics +9