Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach

A new look at the statistical model identification

Hirotugu Akaike · IEEE Transactions on Automatic Control · 1974 · 50.7K citations · Full text

Business, Biostatistics, Statistical Modeling +9

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

Business, Economics, Econometrics +12

Testing for a unit root in time series regression

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

Social Sciences, Economics, Econometrics +16

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

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17