Stock returns and volatility: An empirical study of the UK stock market

Generalized autoregressive conditional heteroskedasticity

1986 • 21,376 citations

Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1979 • 20,919 citations

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

1982 • 19,770 citations

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1979 • 8,550 citations

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

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Introduction to Statistical Time Series

1978 • 4,545 citations

Expected stock returns and volatility

1987 • 4,291 citations

A Capital Asset Pricing Model with Time-Varying Covariances

1988 • 3,189 citations

On estimating the expected return on the market

1980 • 2,932 citations

Estimating betas from nonsynchronous data

1977 • 2,887 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

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

1982 • 2,405 citations

Introduction to Statistical Time Series.

1977 • 2,373 citations

Modelling the persistence of conditional variances

1986 • 2,029 citations

Foundations of Finance.

1977 • 1,197 citations

Stock Returns and Volatility

1990 • 760 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Volatility persistence and stock valuations: Some empirical evidence using garch

1988 • 542 citations

Semiparametric ARCH Models

1991 • 487 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 411 citations

Risk, Inflation, and the Stock Market

1984 • 386 citations

Modeling Heteroscedasticity in Daily Foreign-Exchange Rates

1989 • 274 citations

Semiparametric ARCH Models

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MORE EVIDENCE ON THE DISTRIBUTION OF SECURITY RETURNS

1978 • 100 citations

Non-Parametric Estimation and the Risk Premium

1988 • 63 citations

Modeling Stochastic Volatility

2006 • 26 citations

More Evidence on the Distribution of Security Returns

1978 • 25 citations