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Social Sciences, Economics, Econometrics +7

Hypothesis testing when a nuisance parameter is present only under the alternative

Robert B. Davies · Biometrika · 1987 · 2.1K citations

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Business, Economics, Finance +15

A Markov Model of Switching-Regime ARCH

Jun Cai · Journal of Business and Economic Statistics · 1994 · 563 citations

Business, Economics, Finance +17

Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility

Michael J. Dueker · Journal of Business and Economic Statistics · 1997 · 384 citations

Business, Economics, Finance +17