The effect of the 1987 Stock Crash on international financial integration

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1987 • 2,601 citations

Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model

1987 • 2,510 citations

Correlations in Price Changes and Volatility across International Stock Markets

1990 • 1,910 citations

Day of the Week Effects and Asset Returns

1981 • 1,198 citations

Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts

1989 • 877 citations

A Further Investigation of the Weekend Effect in Stock Returns

1984 • 788 citations

The International Crash of October 1987

1988 • 401 citations

A Unified Approach to Robust, Regression-Based Specification Tests

1990 • 321 citations

International Stock Price Movements: Links and Messages

1989 • 267 citations

Price Volatility, International Market Links, and Their Implications for Regulatory Policies

1989 • 251 citations

Quasi-maximum likelihood estimation of dynamic models with time varying covariances

1988 • 168 citations

Specification testing and quasi-maximum- likelihood estimation

1991 • 93 citations

After‐Hours Stock Prices and Post‐Crash Hangovers

1991 • 73 citations

US money supply announcements and Pacific Rim stock markets: evidence and implications

1990 • 42 citations