Is the correlation in international equity returns constant: 1960–1990?

Conditional Heteroskedasticity in Asset Returns: A New Approach

1991 • 10,112 citations

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

1993 • 8,018 citations

Multivariate Simultaneous Generalized ARCH

1995 • 4,490 citations

ARCH modeling in finance

1992 • 4,478 citations

Measuring and Testing the Impact of News on Volatility

1993 • 3,716 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 3,555 citations

Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model

1990 • 3,552 citations

Permanent and Temporary Components of Stock Prices

1988 • 3,149 citations

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

1987 • 2,601 citations

Stock returns and the term structure

1987 • 2,322 citations

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

1993 • 2,215 citations

No news is good news

1992 • 1,945 citations

Estimation and Inference in Nonlinear Structural Models

1974 • 1,759 citations

The Variation of Economic Risk Premiums

1991 • 1,745 citations

Transmission of Volatility between Stock Markets

1990 • 1,508 citations

International Diversification of Investment Portfolios

1970 • 1,168 citations

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED‐RESIDUAL AUTOCORRELATIONS

1983 • 1,124 citations

The World Price of Covariance Risk

1991 • 1,115 citations

A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA

1949 • 983 citations

Why Not Diversify Internationally Rather Than Domestically?

1974 • 900 citations

Why Does Stock Market Volatility Change Over Time?

1989 • 848 citations

Stock Returns and Volatility

1990 • 760 citations

Measuring and Testing the Impact of News on Volatility

1993 • 756 citations

Volatility and Links between National Stock Markets

1994 • 670 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

The Persistence of Volatility and Stock Market Fluctuations

1986 • 596 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration

1992 • 521 citations

Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets

1994 • 517 citations

Threshold arch models and asymmetries in volatility

1993 • 502 citations

Speculative Dynamics

1991 • 426 citations

Global financial markets and the risk premium on U.S. equity

1992 • 345 citations

The World Price of Covariance Risk

1991 • 344 citations

A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets

1990 • 313 citations

Evolution in dynamic linkages across daily national stock indexes

1991 • 300 citations

INTERNATIONAL PORTFOLIO DIVERSIFICATION: A MULTIVARIATE ANALYSIS FOR A GROUP OF LATIN AMERICAN COUNTRIES

1973 • 283 citations

International Stock Price Movements: Links and Messages

1989 • 267 citations

An Asymptotic χ²Test for the Equality of Two Correlation Matrices

1970 • 265 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 255 citations

Risk, uncertainty, and exchange rates

1989 • 238 citations

THE INTERDEPENDENCE OF INTERNATIONAL EQUITY MARKETS

1971 • 233 citations

The performance of international asset allocation strategies using conditioning information

1993 • 209 citations

Structure and performance: Global interdependence of stock markets around the crash of October 1987∗

1990 • 202 citations

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1989 • 195 citations

Tests of the CAPM with Time‐Varying Covariances: A Multivariate GARCH Approach

1991 • 170 citations

Qualitative threshold ARCH models

1992 • 165 citations

Tests of international CAPM with time‐varying covariances

1989 • 156 citations

Predictable Stock Returns in the United States and Japan: A Study of Long-Term Capital Market Integration

1992 • 151 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 144 citations

Stability and forecasting of the comovement measures of international stock market returns

1988 • 140 citations

Economic Implications of Extraordinary Movements in Stock Prices

1989 • 136 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 130 citations

An Asymptotic | chi 2 Test for the Equality of Two Correlation Matrices

1970 • 102 citations

Consumption risk and international equity returns: some empirical evidence

1990 • 87 citations

International Portfolio Diversification: A Multivariate Analysis for a Group of Latin American Countries

1973 • 77 citations

The Interdependence of International Equity Markets

1971 • 71 citations

The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets

1989 • 70 citations

Risk, Time-Varying Second Moments and Market Efficiency

1991 • 65 citations

Changes in Expected Security Returns, Risk, and the Level of Interest Rates

1989 • 52 citations

Tests of the CAPM with Time-Varying Covariances: A Multivariate GARCH Approach

1991 • 51 citations

Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan

1991 • 31 citations

Portfolio diversification and the inter-temporal stability of international stock indices

1992 • 26 citations