Stochastic volatility with leverage: Fast and efficient likelihood inference

Conditional Heteroskedasticity in Asset Returns: A New Approach

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

Business, Economics, Finance +17

Forecasting, Structural Time Series Models and the Kalman Filter

Robert Fildes, Andrew Harvey, Mike West et al. · Journal of the Operational Research Society · 1991 · 4.8K citations

Computing, Mathematics, Forecasting +13

Understanding the Metropolis-Hastings Algorithm

Siddhartha Chib, Edward Greenberg · The American Statistician · 1995 · 3.7K citations

Engineering, Biostatistics, Bayesian Data Analysis +14

Time Varying Structural Vector Autoregressions and Monetary Policy

Giorgio E. Primiceri · The Review of Economic Studies · 2005 · 2.9K citations

Social Sciences, Economics, Econometrics +16

Remarks on a Multivariate Transformation

Murray Rosenblatt · The Annals of Mathematical Statistics · 1952 · 2.9K citations · Full text

Natural Sciences, Biostatistics, Measurement Invariance +4