The distribution of realized stock return volatility

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

The Behavior of Stock-Market Prices

1965 • 8,575 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

The variation of certain speculative prices

1997 • 4,766 citations

Stochastic Integration and Differential Equations

2005 • 4,762 citations

ARCH modeling in finance

1992 • 4,478 citations

Expected stock returns and volatility

1987 • 4,291 citations

The Pricing of Options on Assets with Stochastic Volatilities

1987 • 3,897 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts

1998 • 3,335 citations

A long memory property of stock market returns and a new model

1993 • 3,227 citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1983 • 2,957 citations

On estimating the expected return on the market

1980 • 2,932 citations

A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

1973 • 2,868 citations

Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk

2001 • 2,494 citations

The stochastic behavior of common stock variances Value, leverage and interest rate effects

1982 • 2,405 citations

Fractionally integrated generalized autoregressive conditional heteroskedasticity

1996 • 2,276 citations

The Distribution of Realized Exchange Rate Volatility

2001 • 2,139 citations

Correlation and Dependence in Risk Management: Properties and Pitfalls

2002 • 1,975 citations

No news is good news

1992 • 1,945 citations

Asymmetric Volatility and Risk in Equity Markets

2000 • 1,486 citations

Modeling Asymmetric Comovements of Asset Returns

1998 • 1,430 citations

Multivariate Stochastic Variance Models

1994 • 1,417 citations

Stock Prices and Volume

1992 • 1,388 citations

Bayesian Analysis of Stochastic Volatility Models

2002 • 1,355 citations

Alternative models for conditional stock volatility

1990 • 1,337 citations

Log-Periodogram Regression of Time Series with Long Range Dependence

1995 • 1,278 citations

The relation between implied and realized volatility

1998 • 1,145 citations

Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

1990 • 1,080 citations

Stock Volatility and the Crash of ’87

1990 • 1,003 citations

Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility

1996 • 1,001 citations

ARCH models as diffusion approximations

1990 • 974 citations

Chaos and Nonlinear Dynamics: Application to Financial Markets

1991 • 947 citations

A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices

1974 • 921 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Studies of stock market volatility changes

1976 • 846 citations

Chapter 49 Arch models

1994 • 820 citations

The dynamics of exchange rate volatility: A multivariate latent factor ARCH model

1989 • 778 citations

All in the family Nesting symmetric and asymmetric GARCH models

1995 • 757 citations

Stock market volatility and the information content of stock index options

1992 • 704 citations

Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory

2000 • 702 citations

The Informational Content of Implied Volatility

1993 • 691 citations

Effects of model specification on tests for unit roots in macroeconomic data

1987 • 670 citations

Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns

1997 • 664 citations

The detection and estimation of long memory in stochastic volatility

1998 • 649 citations

Forecasting International Equity Correlations

1994 • 552 citations

The Distribution of Share Price Changes

1972 • 543 citations

Volatility and cross correlation across major stock markets

1998 • 532 citations

International Market Correlation and Volatility

1996 • 488 citations

Heteroskedasticity in Stock Returns

1990 • 485 citations

Good News, Bad News, Volatility, and Betas

1995 • 429 citations

Stock returns and volatility a firm-level analysis

1995 • 389 citations

Stock Market Volatility

1990 • 384 citations

Modeling and Forecasting Realized Volatility

2001 • 339 citations

Asymmetric Correlations of Equity Portfolios

2000 • 271 citations

Filtering and forecasting with misspecified ARCH models I: Getting the right variance with the wrong model

1992 • 257 citations

Stock Price Dynamics and Firm Size: An Empirical investigation

1992 • 235 citations

Alternative Models for the Conditional Heteroscedasticity of Stock Returns

1994 • 204 citations

Long-term equity anticipation securities and stock market volatility dynamics

1999 • 181 citations

ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS

2001 • 154 citations

Long-range dependence in the conditional variance of stock returns

1994 • 153 citations

Volume, volatility, and leverage: A dynamic analysis

1996 • 120 citations

Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns

2001 • 111 citations

Correlation Structure of International Equity Markets During Extremely Volatile Periods

1998 • 90 citations

Relative Pricing of Options with Stochastic Volatility

1998 • 75 citations

Time-Varying Betas and Asymmetric Effect of News: Empirical Analysis of Blue Chip Stocks

1999 • 71 citations

Nonlinear time series with long memory: a model for stochastic volatility

1998 • 59 citations

Estimation and Testing in Models Containing Both Jumps and Conditional Heteroscedasticity

1998 • 51 citations

The Impact of Large Changes in Asset Prices on Intra‐Market Correlations in the Domestic and International Markets

2009 • 47 citations

Relative Pricing of Options with Stochastic Volatility

2002 • 44 citations

The Pricing of Japanese Equity Warrants

1992 • 38 citations

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

2000 • 22 citations

Volatility Persistence and Apparent Scaling Laws in Finance

1999 • 9 citations

Introducing a Scale of Market Shocks

1999 • 6 citations

Deleted Work

1955 • 0 citations