Citation Impact
Citing Papers
Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
2009 Standout
Effect size, confidence interval and statistical significance: a practical guide for biologists
2007 Standout
Generalized linear mixed models: a practical guide for ecology and evolution
2009 Standout
Repeatability for Gaussian and non‐Gaussian data: a practical guide for biologists
2010 Standout
Microeconomic Origins of Macroeconomic Tail Risks
2016 StandoutNobel
How Relevant is Volatility Forecasting for Financial Risk Management?
2000
A Shrinkage Approach to Model Uncertainty and Asset Allocation
2005
Giving Content to Investor Sentiment: The Role of Media in the Stock Market
2007 Standout
Bayesian Dynamic Factor Models and Portfolio Allocation
2000
Transition to Clean Technology
2016 StandoutNobel
Better to give than to receive: Predictive directional measurement of volatility spillovers
2011 Standout
Opaque financial reports, R2, and crash risk☆
2009 Standout
New frontiers for arch models
2002 StandoutNobel
Spatio-temporal change-point modeling
2004
On the Sources of the Great Moderation
2009
How to do Xtabond2: An Introduction to Difference and System GMM in Stata
2009 Standout
The dynamics of stochastic volatility: evidence from underlying and options markets
2003
Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
1998
Modeling and Forecasting Realized Volatility
2003 Standout
The Impact of Jumps in Volatility and Returns
2003
ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING*
2008 StandoutNobel
Asymptotic filtering theory for multivariate ARCH models
1996
The detection and estimation of long memory in stochastic volatility
1998
Estimation by Simulation
1994 StandoutNobel
Filtering and forecasting with misspecified ARCH models II
1995
Range‐Based Estimation of Stochastic Volatility Models
2002
Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
2001
Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
2013
Time Varying Structural Vector Autoregressions and Monetary Policy
2003
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000 Standout
Particle filters for positioning, navigation, and tracking
2002 Standout
An Empirical Investigation of Continuous‐Time Equity Return Models
2002
LAPM: A Liquidity‐Based Asset Pricing Model
2001 StandoutNobel
Comparing Dynamic Equilibrium Models to Data
2001
Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?
2007 Standout
Modeling volatility persistence of speculative returns: A new approach
1996 StandoutNobel
What are the advantages of MCMC based inference in latent variable models?
2001
Variational Mode Decomposition
2014 Standout
Bayesian Vector Autoregressions with Stochastic Volatility
1997
Drifts and volatilities: monetary policies and outcomes in the post WWII US
2005 StandoutNobel
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns
1997
Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns
1997
A tutorial on particle filters for online nonlinear/non-Gaussian Bayesian tracking
2002 Standout
Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals
2011 StandoutNobel
Computing value at risk with high frequency data
1999
Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets
2008 Standout
High frequency data in financial markets: Issues and applications
1997
An Introduction to Econophysics: Correlations and Complexity in Finance
2000 Standout
A Note on the Theme of Too Many Instruments*
2009 Standout
Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk
2001 Standout
Long memory in continuous‐time stochastic volatility models
1998
Why environmental scientists are becoming Bayesians
2004
Understanding the Metropolis-Hastings Algorithm
1995 Standout
Discrete Choice Methods with Simulation
2001 Standout
Bayes inference in regression models with ARMA (p, q) errors
1994
How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth
2005
Estimation of an Asymmetric Stochastic Volatility Model for Asset Returns
1996
Fractionally integrated generalized autoregressive conditional heteroskedasticity
1996
Likelihood analysis of non-Gaussian measurement time series
1997
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
1996
Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts
1998 Standout
Do Call Prices and the Underlying Stock Always Move in the Same Direction?
2000
Forecasting Volatility in Financial Markets: A Review
2003 StandoutNobel
Which Moments to Match?
1996
Good News, Bad News, Volatility, and Betas
1995
Shocks and Government Beliefs: The Rise and Fall of American Inflation
2006 StandoutNobel
Markov chain Monte Carlo methods for stochastic volatility models
2002
Measuring Uncertainty
2015 Standout
The optimal choice of climate change policy in the presence of uncertainty
1999
Estimation of stochastic volatility models via Monte Carlo maximum likelihood
1998
RARE SHOCKS, GREAT RECESSIONS
2014
The Distribution of Realized Exchange Rate Volatility
2001 Standout
Which Moments to Match?
1998
The distribution of realized stock return volatility
2001 Standout
Changing beliefs and the term structure of interest rates: Cross-equation restrictions with drifting parameters
2005
Implied Volatility Functions: Empirical Tests
1998
The econometrics of financial markets
1996
Time Varying Structural Vector Autoregressions and Monetary Policy
2005 Standout
Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
1998
Monte Carlo Simulation and Numerical Integration
1994
Shocks and Government Beliefs: The Rise and Fall of American Inflation
2006 StandoutNobel
Oil and stock market volatility: A multivariate stochastic volatility perspective
2011
Evolution and Intelligent Design
2008 StandoutNobel
How Fast Can The New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth
2001
Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system
2005 StandoutNobel
Estimation and Inference of Impulse Responses by Local Projections
2005 Standout
An Explicit Link between Gaussian Fields and Gaussian Markov Random Fields: The Stochastic Partial Differential Equation Approach
2011 Standout
Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards
2004 Standout
Filtering via Simulation: Auxiliary Particle Filters
1999
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
2000
Sequential Monte Carlo Methods for Dynamic Systems
1998 Standout
Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
2000
Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach
2007 Standout
Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
2003 StandoutNobel
The Cross‐Section of Volatility and Expected Returns
2006 Standout
Works of Éric Jacquier being referenced
Dynamic Evaluation of Contingent Claim Models (An Analysis of Model Error)
1999
Bayesian Analysis of Stochastic Volatility Models
1994
[Bayesian Analysis of Stochastic Volatility Models]: Reply
1994
Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
2003
Bayesian Analysis of Stochastic Volatility Models
2002
Bayesian Analysis of Stochastic Volatility Models
1994
Bayesian analysis of contingent claim model error
2000
Reply
1994
Bayesian Analysis of a Stochastic Volatility Model with Leverage Effect and Fat Tails
2001