Modeling volatility linkages between Shanghai and Hong Kong stock markets before and after the connect program

Multivariate Simultaneous Generalized ARCH

Robert F. Engle, Kenneth F. Kroner · Econometric Theory · 1995 · 4.6K citations

Engineering, Mathematics, Statistical Modeling +16

Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

Tim Bollerslev, Jeffrey M. Wooldridge · Econometric Reviews · 1992 · 3.3K citations

Social Sciences, Economics, Econometrics +16

Modeling Asymmetric Comovements of Asset Returns

Kenneth F. Kroner, Victor Ng · Review of Financial Studies · 1998 · 1.6K citations

Business, Economics, Finance +17

Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures

Kenneth F. Kroner, Jahangir Sultan · Journal of Financial and Quantitative Analysis · 1993 · 1.5K citations

Business, Economics, Finance +17

Testing for the Constancy of Parameters over Time

Jukka Nyblom · Journal of the American Statistical Association · 1989 · 877 citations

Natural Sciences, Mathematics, Probability Theory +12