Journal of Econometrics · 2000 · 348 citations · 19 references
EngineeringMathematicsProbability TheoryStochastic ModelingStochastic ProcessesGeneralized Method Of MomentsMarkov ChainsMarkov ModelingMarkov ProcessesQueueing TheoryStochastic Systems ModelingSwitching State-space Models
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Generalized autoregressive conditional heteroskedasticity
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Business, Finance, Econometrics +11
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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