717 citations · 1.1k across the 4 of their papers we have counts for
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math.ST2006★ 254 cited
Statistical inference for time-varying ARCH processes
Rainer Dahlhaus, Suhasini Subba Rao
In this paper the class of ARCH models is generalized to the nonstationary class of ARCH models with time-varying coefficients. For fixed time points, a station…
math.ST2006★ 717 cited
Correction. Efficient parameter estimation for self-similar processes
Rainer Dahlhaus
Correction to The Annals of Statistics (1989) 17 1749--1766 [URL: http://links.jstor.org/sici?sici=0090-5364%28198912%2917%3A4%3C1749%3AEPEFSP%3E 2.0.CO%3B2-9]