TY  - JOUR
TI  - Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
AU  - Tim Bollerslev
AU  - Jeffrey M. Wooldridge
JO  - Econometric Reviews
PY  - 1992
VL  - 11
IS  - 2
DO  - 10.1080/07474939208800229
UR  - https://doi.org/10.1080/07474939208800229
ER  -


TY  - JOUR
TI  - Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model
AU  - Robert F. Engle
AU  - David M. Lilien
AU  - Russell P. Robins
JO  - Econometrica
PY  - 1987
VL  - 55
IS  - 2
DO  - 10.2307/1913242
UR  - https://doi.org/10.2307/1913242
ER  -


TY  - JOUR
TI  - Estimating regression models with unknown break‐points
AU  - Vito M. R. Muggeo
JO  - Statistics in Medicine
PY  - 2003
VL  - 22
IS  - 19
DO  - 10.1002/sim.1545
UR  - https://doi.org/10.1002/sim.1545
ER  -


TY  - JOUR
TI  - Autoregressive conditional heteroskedasticity and changes in regime
AU  - James Douglas Hamilton
AU  - Raúl Susmel
JO  - Journal of Econometrics
PY  - 1994
VL  - 64
IS  - 1-2
DO  - 10.1016/0304-4076(94)90067-1
UR  - https://doi.org/10.1016/0304-4076(94)90067-1
ER  -


TY  - JOUR
TI  - Resurrecting the (C)CAPM: A Cross‐Sectional Test When Risk Premia Are Time‐Varying
AU  - Martin Lettau
AU  - Sydney C. Ludvigson
JO  - Journal of Political Economy
PY  - 2001
VL  - 109
IS  - 6
DO  - 10.1086/323282
UR  - https://doi.org/10.1086/323282
ER  -


TY  - JOUR
TI  - A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations
AU  - Yiu‐Kuen Tse
AU  - Albert K. C. Tsui
JO  - Journal of Business and Economic Statistics
PY  - 2002
VL  - 20
IS  - 3
DO  - 10.1198/073500102288618496
UR  - https://doi.org/10.1198/073500102288618496
ER  -


TY  - JOUR
TI  - Persistence in Variance, Structural Change, and the GARCH Model
AU  - Christopher G. Lamoureux
AU  - William D. Lastrapes
JO  - Journal of Business and Economic Statistics
PY  - 1990
VL  - 8
IS  - 2
DO  - 10.1080/07350015.1990.10509794
UR  - https://doi.org/10.1080/07350015.1990.10509794
ER  -